This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets context adaptive market hypothesis. The were applied daily returns using rolling window method research period from May 1, 2013 September 30, 2022. results this suggest that majority examined cryptocurrencies unpredictable time. Ho...

When executives examine how smart their innovation processes are, the soul-searching involves questions of effectiveness, efficiency, and risk. How does the company’s record of success in innovation stand up against competitors’? Does the company achieve an adequate return on its investments in technology? Is the company’s innovation process sufficiently under control to improve the predictabil...

some of inherent limitations of accrual accounting make the actual earnings and accounting earnings different. so assessment of reported earnings quality has allocated extensive bulk of accounting studies to itself. the decrease information quality such as earnings quality increases information risk and also the investor’s risk. it’ll increase their expected return. since cost of equity is the ...

Existing literature has found no evidence of market-timing ability by mutual funds using tests based on fund returns. This paper proposes alternative market-timing tests based on observed fund holdings. The holdings-based measures are shown to be more powerful than the return-based measures, and are not subject to “artificial timing” bias. Applying the holdings-based tests, we find strong evide...

We consider a two-period portfolio problem with predictable assets returns. First-order (second-order) predictability means that an increase in the first period return yields a first-order (second-order) stochastically dominated shift in the distribution of the second period state prices. Mean reversion in stock returns, Bayesian learning, stochastic volatilities and stochastic interest rates (...

Recent research in empirical finance has documented that expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In this paper we propose an empirical model that is able to capture these complex dynamics, yet is simple to apply in practice, and we explore its implications...

Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors’ attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to category-learning behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure...

We study equity premium out-of-sample predictability by extracting the information contained in a high number of macroeconomic predictors via large dimensional factor models. compare well-known model with static representation common components Generalized Dynamic Factor Model, which accounts for time series dependence components. Using statistical and economic evaluation criteria, we empirical...