Buscar
Mostrando ítems 21-30 de 3997
Indonesian stock market: Do bear and bull matter?
(Universidad del Zulia, 2020)
Confidence and self-attribution bias in an artificial stock market
(2017-02-01)
Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find ...
The effect of macroeconomic variables on the robustness of the traditional Fama–French model. A study for Mexico using different portfolios
(Universidad ESAN. ESAN EdicionesPE, 2021-12-19)
Purpose. Fama–French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock ...
Automatic model selection for forecasting Brazilian stock returns
(2015-08-07)
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
Loss aversion, overconfidence and their effects on a virtual stock exchange
(2020-09-15)
This paper studies the effects of overconfidence and loss aversion in an artificial stock exchange. When we model only fundamentalists we find results that are consistent with homogeneous agent models. Adding 5% of chartists ...
Volatility Spillovers between Equity and Currency Markets: Eviderice from Major Latin American Countries
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2008)
Monetary policy and the cross-section of stock returns: a FAVAR approach
(2012-05-28)
We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial ...
Addressing the choices of contemporaries in the stock market
(Universidad del Zulia, 2019)