Forecasting crude oil prices with a large set of predictors: Can LASSO select...
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Yaojie Zhang, Feng Ma, Yudong WangAbstractIn this paper, we use two prevailing shrinkage methods, the lasso and...
View ArticleEstimation and model-based combination of causality networks among large US...
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Giovanni Bonaccolto, Massimiliano Caporin, Roberto PanzicaAbstractCausality is a widely-used concept in...
View ArticlePerceived information, short interest, and institutional demand
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Chune Young Chung, Luke DeVault, Kainan WangAbstractWe test whether institutional investorsâ demand relates to...
View ArticleInvestor target prices
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Shiyang Huang, Xin Liu, Chengxi YinAbstractWe argue that investors have target prices as anchors for the stocks...
View ArticleRange-based DCC models for covariance and value-at-risk forecasting
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Piotr Fiszeder, Marcin FaÅdziÅski, Peter MolnárAbstractThe dynamic conditional correlation (DCC) model by...
View ArticleInformation uncertainty and the pricing of liquidity
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Wenjin Kang, Nan Li, Huiping ZhangAbstractThis study shows that, to obtain a precise measure of the liquidity...
View ArticleBalanced predictive regressions
Publication date: December 2019Source: Journal of Empirical Finance, Volume 54Author(s): Yu Ren, Yundong Tu, Yanping YiAbstractIn a predictive regression, a less persistent return series is regressed...
View ArticleMedia Attention and the Low Volatility Effect
The low volatility factor is a well-known example of a stock trading strategy that contradicts the classical CAPM model. A lot of researchers are trying to come up with an explanation for driving...
View ArticleUPDATE – Quantpedia’s Site Maintenance
Hello, Weâve launched our new website with the updated core back-end technology. Therefore it's required for all users to change their password (your previous will not work anymore). It's really...
View ArticleWhat Affects the Correlation Between Stocks and Bonds
The correlation between bonds and stocks is essential information for asset allocation decisions; therefore understanding its macro-economic drivers is very valuable for all investors. Stocks-bonds...
View ArticleQuantpedia Premium Update – 29th August 2019
Two new strategies have been added: #443 - Taylor Rule and FX Returns #444 - Value Factor After Negative Market Return One new related research paper has been included into existing strategy reviews....
View ArticleQuantpedia in August 2019
Dear readers, The biggest story in August was our successful migration to a new core back-end system. But we have accomplished much more – four new Quantpedia Premium strategies have been added into...
View ArticleRetail Day Trading is an Uphill Battle
Do retail day traders have a chance in current financial markets? They often lack proper trading research and infrastructure; they are facing high fees and stiff competition from professionals. But...
View ArticleCommodity Futures Predict Stock Market Returns
Commodities are an essential exporting asset for a lot of countries around the world. Therefore, it is not surprising that the stock market returns of some emerging market countries are dependent on...
View ArticleQuantpedia Premium Update – 16th September 2019
Two new strategies have been added: #445 â Hazard Fear in Commodity Markets #446 â Fundamental Strength and the 52-Week High Anomaly Two new related research papers have been included into existing...
View ArticleDemand and Supply of Safe Dollar Assets Move Markets
The United States has a special place in a global financial system. The U.S. dollar is the world's reserve currency, and U.S. Treasuries are used as primary safe assets. Therefore, it is no surprise...
View ArticleA Deeper Look on Commitments of Traders Report
Sun Tzu onced wrote (paraphrasing) âknow yourself, know your enemy, and you shall win a hundred battles without loss". This proverb is true also in financial markets as it is always easier to prepare...
View ArticleSEC Orders an Additional 16 Self-Reporting Advisory Firms to Pay Nearly $10...
The Securities and Exchange Commission today announced settled charges against 17 investment advisers for disclosure failures regarding their mutual fund share class selection practices. The firms...
View ArticleSpoti-sly
By Bill Kelly, CEO, CAIA Association How do you turn a millennial into a capitalist? Sell her SNAP in the post-IPO market. A little hindsight here shows how ridiculous this all looked. The initial...
View ArticleQuantpedia Premium Update – 30th September 2019
Two new strategies have been added: #447 â Logistic Regression and Momentum-Based Trading Strategy #448 â Short Selling the Issuer's Stock in the Convertible Bond Arbitrage Two new related research...
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