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A general sentiment shock can be expected to have a higher price effect than sector-specific ... 0.35-0.4 percent in the following week - with a somewhat higher ...
by SY Xu · Cited by 68 — This paper aims to combine the conventional time series analysis technique with information from the Google trend website and the. Yahoo finance website to ...
Finally, we show how markets can be used to both uncover the economic model behind forecasts, as well as test existing economic models. Erik Snowberg. Division ...
Our analysis provides a clear picture of the economic magnitude of the price pressure and predictable reversals by means of a sorting ...
We use a calibrated dynamic asset pricing model with crash risk to study the impact of sector- wide bailout guarantees on individual and index option prices.
To directly check for this, we scale the dividend payment amount not by the prior day market value, but with further lags.
The basic intuition behind this is that market shares may in theory reflect that a firm possesses market power and hence the ability to increase prices, as well ...
ryan-hawthorne.squarespace.com·493.8 KBAn industry or sector forecast relies on an underlying forecast of the macroeconomy. But it's still only half the story for most economic ...
Contrary to the common wisdom that asset prices are hardly possible to forecast, we show that high and low prices of equity shares are largely predictable. We ...
Show that anticipated demand/supply shocks generate price pressure. Return on aggregate market is high on days where aggregate dividend payments are large.
This creates predictable marketwide price increases on days of large aggregate dividend payouts, concentrated in stocks not paying dividends. * ...
This paper documents the existence of a slowly evolving trend in the dividend- price ratio, dpt, determined by a demographic variable, MY : the middle-aged ...
Evidence of price pressure due to flow-driven mutual fund trading, with prices persistently reverting over a few quarters, is presented in Coval and Stafford ( ...
Economic forecasting is a difficult 'art' and a good performance demands a balanced use of different models, ad hoc indicators and a huge amount of good data. ...
We present experimental evidence that security prices do not respond to pressure from their own excess demand, unlike traditionally assumed in economic theory. ...
by MP Clements · Cited by 57 — Econometric forecasting models are systems of relationships between variables such as GNP, inflation, exchange rates, etc. Their equations are then estimated.
The literature is virtually unanimous that GE effects are important for understanding the costs and benefits of environmental regulation. The literature is not ...
Are the equilibria that are enhanced by industry-wide regulation in some sense welfare-improving? In general we find the answer to be no: the results of our ...
