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Victoria University of Wellington - School of Economics & Finance
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Predictability; corporate bonds; out-of-sample forecasts; utility gains
trend signals; moving averages; cross-sectional predictability; corporate bond returns.
Sentiment; Residuals; Risk Factors; Cross-Section; Bond Returns
Trend premium; Momentum; Information uncertainty; International
U-shaped, trading volume, realized volatility, ranged volatility, informed
Spot rate models, Term structure of interest rates, Market segmentation, Nonparametric specification tests
Short sale constraint, Transaction cost, Resale restriction, Utility indifferent discount, Markov decision process
implied volatility; price discovery; two-factor stochastic volatility model; out-of-sample forecast; economic significance
Yield Signals; Moving Averages; Cross-Sectional Predictability; Machine Learning; Corporate Bond Returns
Treasury; Iterated Combination Forecast; Predictability; Utility Gain
Commodity Futures; Market Efficiency; Futures Risk Premium; State Space Model; Kalman Filter.
Price discovery, asymmetric information, liquidity provision, variance decomposition, after-hours trading
disaster risks; treasury bond; risk premium; predictability
Tightened Trading Rules; Index Futures; Market Efficiency; Price Discovery; Manipulation
International predictors; liquidity; stock return predictability; out-of-sample; information diffusion.
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Information diffusion, International predictors, Liquidity, Out‐of‐sample, Stock return predictability
Abnormal trading; legislative change; earnings announcement; probability of informed trading
Brexit Referendum, Cointegration, Dynamic Spillover Analysis, Event Analysis
CDS spreads, Information risk, Accruals quality, Innate accruals, Discretionary accruals
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