January 2022 - 38 articles
This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known...
This paper studies the effects of a firm’s financial performance (FP) and chief executive officer’s (CEO) duality on the quality of corporate social responsibility (CSR) disclosure in the context of state-owned enterprises (SOEs) among Ch...
The motivation for this study hinges around the fact that Trinidad and Tobago (T&T) is suffering from the Dutch disease which inadvertently hinders the growth of non-energy exports. This paper examines measures that can be adopted for a small pet...
In this study, we apply several advanced machine learning techniques including extreme gradient boosting (XGBoost), support vector machine (SVM), and a deep neural network to predict bankruptcy using easily obtainable financial data of 3728 Belgian S...
Trading activities represent the flow of market information to the investors. This paper examines the effect of trading activities, i.e., trading volume and open interest, on the volatility of return for Malaysian Crude Palm Oil Futures. The GARCH mo...
This paper aims to contribute to the lack of research on the learning process of mutual fund markets. The empirical design is focused on the ability of the Spanish equity mutual fund industry to learn from its important errors. The choice of this ind...
Quantitative researchers often use Student’s t-test (and its p-values) to claim that a particular regressor is important (statistically significantly) for explaining the variation in a response variable. A study is subject to the p-hacking prob...
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the...
The redistribution of resources in global stock markets is prevalent: the capital is transferred from one investor to another. Sometimes, earning a substantial return in the stock market seems complicated to implement for an individual investor. Inve...
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underly...
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