Search Results - "Journal of empirical finance"

Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? by Zhang, Yaojie, Ma, Feng, Wang, Yudong

“…In this paper, we use two prevailing shrinkage methods, the lasso and elastic net, to predict oil price returns with a large set of predictors. The…”
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Conditional tail-risk in cryptocurrency markets by Borri, Nicola

“…In this paper we use CoVaR to estimate the conditional tail-risk in the markets for bitcoin, ether, ripple and litecoin and find that these cryptocurrencies…”
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Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks by Ma, Feng, Liao, Yin, Zhang, Yaojie, Cao, Yang

“…Oil markets are subject to extreme shocks (e.g. Iraq’s invasion of Kuwait), causing the oil market price exhibits extreme movements, called jumps (or spikes)…”
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Female board representation, corporate innovation and firm performance by Chen, Jie, Leung, Woon Sau, Evans, Kevin P.

“…We show evidence that female board representation is associated with greater innovative success, and thus enhances firm performance in innovation-intensive…”
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CRIX an Index for cryptocurrencies by Trimborn, Simon, Härdle, Wolfgang Karl

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Oil and the short-term predictability of stock return volatility by Wang, Yudong, Wei, Yu, Wu, Chongfeng, Yin, Libo

“…The goal of this paper is to show that crude oil volatility is predictive of stock volatility in the short-term from both in-sample and out-of-sample…”
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Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model by Pan, Zhiyuan, Wang, Yudong, Wu, Chongfeng, Yin, Libo

“…We introduce a regime switching GARCH-MIDAS model to investigate the relationships between oil price volatility and its macroeconomic fundamentals. Our model…”
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Why female board representation matters: The role of female directors in reducing male CEO overconfidence by Chen, Jie, Leung, Woon Sau, Song, Wei, Goergen, Marc

“…We suggest a novel reason why there might be a need for female board representation. Female participation in the boardroom attenuates the CEO’s overconfident…”
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On the stability of stablecoins by Grobys, Klaus, Junttila, Juha, Kolari, James W., Sapkota, Niranjan

“…This paper investigates the volatility processes of stablecoins and their potential stochastic interdependencies with Bitcoin volatility. We employ a novel…”
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Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection by Fang, Tong, Lee, Tae-Hwy, Su, Zhi

“…We consider a GARCH-MIDAS model with short-term and long-term volatility components, in which the long-term volatility component depends on many macroeconomic…”
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Political uncertainty and bank loan contracting by Francis, Bill B., Hasan, Iftekhar, Zhu, Yun

“…Given that political uncertainty greatly impacts firm level investment decisions, this paper examines whether and how political uncertainty influences a firm's…”
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Media coverage and investment efficiency by Gao, Xin, Xu, Weidong, Li, Donghui, Xing, Lu

“…We examine the effect of media coverage on firm-level investment efficiency. We find that media coverage reduces under-investment but increases…”
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Can investor sentiment be a momentum time-series predictor? Evidence from China by Han, Xing, Li, Youwei

“…This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of…”
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Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach by Nguyen, Linh Hoang, Chevapatrakul, Thanaset, Yao, Kai

“…We construct the complete network of tail risk spillovers among major cryptocurrencies using the Least Absolute Shrinkage and Selection Operator (LASSO)…”
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Investor sentiment and stock returns: Global evidence by Wang, Wenzhao, Su, Chen, Duxbury, Darren

“…We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using the consumer confidence index (CCI) as the sentiment…”
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Tests for explosive financial bubbles in the presence of non-stationary volatility by Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert

“…This paper studies the impact of permanent volatility shifts in the innovation process on the performance of the test for explosive financial bubbles based on…”
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Individual investors’ trading behavior and gender difference in tolerance of sex crimes: Evidence from a natural experiment by Gao, Huasheng, Liu, Zhengkai, Yang, Chloe Chunliu

“…We present evidence that males are more tolerant of sex crimes than females. We exploit a natural experiment, in which a firm’s executive rapes a nine-year-old…”
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Does managerial ability facilitate corporate innovative success? by Chen, Yangyang, Podolski, Edward J., Veeraraghavan, Madhu

“…This paper examines whether managerial ability facilitates corporate innovative success. First, we show that managerial ability is positively associated with…”
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Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil by Brandt, Michael W., Gao, Lin

“…News about macroeconomic fundamentals and geopolitical events affect crude oil markets differently. Using sentiment scores for a broad set of global news of…”
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Friendly boards and innovation by Kang, Jun-Koo, Liu, Wei-Lin, Low, Angie, Zhang, Le

“…We examine how friendly boards affect firm innovation. Using CEO-director social connections as a measure of board friendliness, we find that firms with…”
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