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1
Tamegawa, Kenichi, and Shin Fukuda. "EXPECTATION ERRORS IN CREDIT MARKET AND BUSINESS CYCLES." Macroeconomic Dynamics 20, no. 5 (June 30, 2016): 1359–80. http://dx.doi.org/10.1017/s1365100514000923.
Повний текст джерелаАнотація:
This study demonstrates how expectation errors in a credit market generate economic fluctuations. To this end, we employ simulation analysis using a dynamic stochastic general equilibrium model. Our model includes two building blocks that are not included in the standard models: the banking sector and matching friction in the labor market. By introducing the banking sector, we can confirm that if economic agents fallaciously expect a rise in future asset prices, such expectations will cause an economic boom and bust. The variation of this fluctuation is quite large and the recession short-lived, but these drawbacks can be avoided by adding matching friction.
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Ferreira, Alex, Michael Moore, and Satrajit Mukherjee. "Expectation errors in the foreign exchange market." Journal of International Money and Finance 95 (July 2019): 44–51. http://dx.doi.org/10.1016/j.jimonfin.2019.03.005.
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Chaim, Pedro, and Márcio Laurini. "Foreign Exchange Expectation Errors and Filtration Enlargements." Stats 2, no. 2 (April 9, 2019): 212–27. http://dx.doi.org/10.3390/stats2020016.
Повний текст джерелаАнотація:
Extrapolations of future market forward rates are a better predictor of the 30-days ahead BRL-USD exchange rate than forecasts from the Central Bank Focus survey of Brazilian market participants. This is puzzling because market participants observe forward rates as they submit predictions, and thus these agents perform biased forecasts even though they have access to a set of unbiased forecasts, consistent with a martingale process for the exchange rate. We argue that this rational conundrum can be explained by a mechanism through which new information enlarges the information set (a filtration), changing the underlying measure and inducing a drift into the martingale process, turning the process into a strict local martingale and generating a forecast bias. Empirical results suggest that Focus survey forecasts indeed display characteristics of a strict local martingale, while spot exchange rates and forward rates are consistent with a martingale process.
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Tsai, I.-Chun. "Investigating Gender Differences in Real Estate Trading Sentiments." American Economist 63, no. 2 (January 5, 2018): 187–214. http://dx.doi.org/10.1177/0569434517746388.
Повний текст джерелаАнотація:
This study examined whether a person’s gender influences his or her real estate trading sentiments. Previous studies have suggested that risk aversion, loss aversion, and expectations of probabilities can affect trading sentiments. Thus, this study inferred that a person’s gender can inform these three factors and thus lead to differences in real estate trading preferences between genders. More noticeable expectation adjustment behavior was observed in men than in women. However, no significant expectation errors were observed in both genders. Moreover, this study observed that gender differences in risk aversion were affected by the fear index, whereas gender differences in loss aversion were affected by unemployment rates. Stock market rallies affected only men’s perceptions toward real estate value. Overall, a more noticeable optimism was observed in men, who were significantly influenced by house price changes. JEL Classifications: G10, R30
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Autin, Claude, Jacques Fearnley, and Ronald Rioux. "Effets des erreurs dans les coefficients structuraux d’un modèle intersectoriel « rectangulaire ». Une approche de type Monte-Carlo." L'Actualité économique 51, no. 1 (July 14, 2009): 86–95. http://dx.doi.org/10.7202/800607ar.
Повний текст джерелаАнотація:
The most simple rectangular input-output models use two rectangular matrices: R a market coefficient matrix, A* a production coefficient matrix. A given exogenous demand Xo determines the sectorial activity levels X* = [I — RA*]-1Xo. We assume that A* is random with expectation A. We study the distribution of the "error" X* — X with X = [I — RA]-1Xo. (1) For the statistically independent elements of A*, we analytically prove that X < EX*. (2) In the more realistic case of statistically dependent elements of A*. (a) One submatrix of A* with T non zero elements is chosen. The probabilistic model which generates the T coefficients is as follows: a* = (1 — μ)a + μ(S/n) b* où a* is the vector of the T random elements, a is the expectation of a* whose components are observed values of a real input-output model, S is the sum of components of a, μ is a parameter between zero and one, b* is a multinomial random vector with T components and parameters n, number of drawings during an experiment, and a/S, the corresponding probabilities. We control the variability of a* through μ and n. For a given experiment, we get a realisation of A* and we compute X*. K independent experiments allow us to estimate the expectation and the variance-covariance matrix of X*, simultaneous confidence intervals for the expectation of the components of X*, and also a few global measures of errors on X*. The Canadian model for 1961 (16 productive sectors, 40 commodities), is tested with that model. The main result is: the relative errors, measured according to the variation coefficients, are greatly reduced when we pass from the "errors" on a* to the corresponding "errors" on X*. (b) The same random model is also simultaneously applied to 2 or 3 sub-matrices of A*.
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Ayekple, Yao Elikem, Charles Kofi Tetteh, and Prince Kwaku Fefemwole. "Markov Chain Monte Carlo Method for Estimating Implied Volatility in Option Pricing." Journal of Mathematics Research 10, no. 6 (November 29, 2018): 108. http://dx.doi.org/10.5539/jmr.v10n6p108.
Повний текст джерелаАнотація:
Using market covered European call option prices, the Independence Metropolis-Hastings Sampler algorithm for estimating Implied volatility in option pricing was proposed. This algorithm has an acceptance criteria which facilitate accurate approximation of this volatility from an independent path in the Black Scholes Model, from a set of finite data observation from the stock market. Assuming the underlying asset indeed follow the geometric brownian motion, inverted version of the Black Scholes model was used to approximate this Implied Volatility which was not directly seen in the real market: for which the BS model assumes the volatility to be a constant. Moreover, it is demonstrated that, the Implied Volatility from the options market tends to overstate or understate the actual expectation of the market. In addition, a 3-month market Covered European call option data, from 30 different stock companies was acquired from Optionistic.Com, which was used to estimate the Implied volatility. This accurately approximate the actual expectation of the market with low standard errors ranging between 0.0035 to 0.0275.
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Schmalensee, Richard, Paul L. Joskow, A. Denny Ellerman, Juan Pablo Montero, and Elizabeth M. Bailey. "An Interim Evaluation of Sulfur Dioxide Emissions Trading." Journal of Economic Perspectives 12, no. 3 (August 1, 1998): 53–68. http://dx.doi.org/10.1257/jep.12.3.53.
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This paper summarizes recent empirical research on compliance costs and strategies and on permit market performance under the U.S. acid rain program, the first large-scale, long-term program to use tradeable emissions permits to control pollution. An efficient market for emissions permits developed in a few years, and this program more than achieved its early goals on time, and it cost less than had been projected. Because of expectation errors, however, investment was excessive, and permit prices substantially understate abatement costs. The tradeable permits approach has worked well, but it is not a miracle cure for environmental problems. Coauthors are Paul L. Joskow, A. Denny Ellerman, Juan Pablo Montero, and Elizabeth M. Bailey.
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Kho, Bong Chan, Uk Chang, and Youngsoo Choi. "Style Analysis and Its Application of Domestic Mutual Funds." Journal of Derivatives and Quantitative Studies 19, no. 1 (February 28, 2011): 91–120. http://dx.doi.org/10.1108/jdqs-01-2011-b0004.
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We illustrate empirically the use of return-based style analysis for domestic stock funds. We search the optimal style model according to the tracking errors, investigate the consistency of the fund style for the optimally selected model, and finally investigate the relationship between fund styles and their fund performance. We use weekly fund return data of domestic stock funds from January 2, 2002 to June 30, 2008, and do style analyses based on the various style indices. The major findings are as follows. Firstly, we find that the style index models with constraint which in practice restricts short sale are better than those with no such constraint. Secondly, we find that the style index model which divides stock market with four categorized indices based on the dimension of size and book-to market and includes the bond market index is the most useful if they are evaluated based on the out-of-sample tracking errors. While adding the Fama-French 3 factors to the selected model does not improve the explanation power, adding the industry sector indexes improves the explanation power. Thirdly, we investigate the consistency of the fund style models and find that the better performing funds are more volatile in the change of the fund style. Fourthly, we find that, contrary to the expectation that the growth-oriented funds perform better than the value-oriented one, the fund performance and style are observed to be mixed. This finding shows that the fund styles are frequently changed according to their performances and market conditions.
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Adedokun, Wole Muri, Adedeji Daniel Gbadebo, Ahmed Oluwatobi Adekunle, and Joseph Olorunfemi Akande. "IFRS Adoption and Accrual-Based Managed Earnings in Nigeria." Asian Economic and Financial Review 12, no. 12 (November 23, 2022): 1041–73. http://dx.doi.org/10.55493/5002.v12i12.4669.
Повний текст джерелаАнотація:
This study aims to evaluate the effects of the adoption of the International Financial Reporting Standards (IFRS) on the accrual-based managed earnings behavior of firms in Nigeria. The panel corrected standard errors (PCSE) multivariate method was employed to analyze firm-level data for 125 firms and covers the 11 sectors on the Nigerian Stock Exchange (NSE). The results of the Welch–Satterthwaite test show a significant difference between the pre-adoption (2003–2011) and post adoption (2012–2020) discretionary accruals. These variables conformed to the a priori expectation and are all significant in the most parsimonious models. Contrary to some developed countries, the data does not support the idea that leverage, growth, and book-to-market value influence managed earnings for Nigeria. Managed earnings are not solely time-driven but are explained by certain firm characteristics (IFRS adoption, post-adoption firm-size, post-adoption audit firm’s size, returns on equity and asset turnover). Future research could explore opportunities in the areas of limitation we identified.
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Bodington, Jeffrey C. "804 Tastes: Evidence on Preferences, Randomness, and Value from Double-Blind Wine Tastings." Journal of Wine Economics 7, no. 2 (September 10, 2012): 181–91. http://dx.doi.org/10.1017/jwe.2012.20.
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AbstractResults for a total of 804 double-blind tastes by experienced tasters during nine tasting events are reported. T-test results reject the hypothesis that flight-position bias affects results. The distribution of ranks for a wine is a mixture distribution, and tests concerning the variance of that mixture distribution do not isolate the variance due to the randomness mixture component alone. T-statistics for the mean ranks of high- and low-ranking wines are over several standard deviations from a random expectation. T-tests show that the statistical significance of the difference between wine ranks is positively related to the difference in their mean ranks. At a 95% level of significance, the difference in ranks between the first- and second-place wines appears to be significant in 33% of tastings. At 95%, the difference in ranks between the first- and last-place wines appears to be significant in 100% of tastings. Monte Carlo simulation shows that much of those differences could be illusory and due to ranking procedures that lead to Type I errors. While the mean correlation coefficient between price per bottle and mean preference is a weakly positive 0.23, this may not indicate an inefficient market. (JEL Classifications: A10, C00, C12, D12)
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Kim, Jung Hoon. "Market earnings expectation, measurement error in analysts’ consensus forecasts and prediction of stock returns." Accounting Research Journal 31, no. 2 (July 2, 2018): 249–66. http://dx.doi.org/10.1108/arj-03-2016-0031.
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Purpose In capital markets research, analysts’ consensus forecasts are widely used as a proxy for unobservable market earnings expectation. However, they measure the market earnings expectation with error that may vary cross-sectionally, as the market does not consistently rely on analysts’ consensus forecasts to form earnings expectation (Walther, 1997). Based on this notion, this paper aims to relate the prediction of future stock returns to the cross-sectional variation of the error in measuring market earnings expectation embedded in analysts’ consensus forecasts. Design/methodology/approach This study uses empirical analyses based on stock returns and annual analysts’ consensus forecasts. Findings Based on the analytical work by Abarbanell et al. (1995), this study reports that when the measurement error in annual analysts’ consensus forecasts is the smallest, forward earnings-to-price ratio (constructed with annual analysts’ consensus forecasts) best explains future stock returns, and the forward earnings-to-price ratio-based investment strategy is the most profitable. Originality/value Findings of this study are useful to capital markets research that relies on the market earnings expectation and to practitioners seeking more profitable investment strategies.
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Wolfers, Justin, and Eric Zitzewitz. "The “Standard Error” of Event Studies: Lessons from the 2016 Election." AEA Papers and Proceedings 108 (May 1, 2018): 584–89. http://dx.doi.org/10.1257/pandp.20181090.
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The 2016 Election offers an unusually stark warning about the limitations of event studies. In four separate pre-election event windows, financial market responses to shifts in electoral probabilities were consistent with expectations that a surprise Trump win would lead the S&P 500 to fall by 11 percent. The initial decline that accompanied Trump's win was more than reversed on the day after the election, however, suggesting a reassessment of its expected effect. We discuss explanations for this reassessment. But our broader point is methodological: today's event study may not reveal tomorrow's market expectation.
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Ahn, Yeong-Hwi, Koo-Rack Park, Dong-Hyun Kim, and Han-Jin Cho. "Logistic Regression Algorithm-Based Product Recommendation System Model." Journal of Computational and Theoretical Nanoscience 18, no. 5 (May 1, 2021): 1429–35. http://dx.doi.org/10.1166/jctn.2021.9619.
Повний текст джерелаАнотація:
It is very rare to see that the product development process is smoothly carried out with no trials and errors. In the process of producing new products, many difficulties are frequently occurring contrary to the expectation. In order to efficiently cope with such difficulties, it would be required to have the procedure for reflecting consumers’ needs by introducing and applying the recent Opinion Mining, Sentiment Analysis, and Logistic Regression to the product development process. This study used the linear regression and logistic regression models to predict a product with the highest purchase possibility, which was used for the newest marketing technique for the next best action or product recommendation, by analyzing the massive unstructured consumer data of portal sites and online markets, positiveness/negativeness, and predicting/analyzing the causes. Even though the concept itself of those models is simple, they are the most successful models in the logistic regression field. Some people may be opposed to call these models logistic regression. However, the concept itself is the same, and they are achieving such excellent results in the actual logistic regression. The logistic regression model is used for predicting a product with the highest purchase possibility in the newest marketing technique for the next best action or product recommendation. To conquer the new product market, the planning and development of new products are playing huge roles in the corporate performance and growth. The logistic regression-based product recommendation system model proposed by this thesis is the system for acquiring useful and accurate information to plan the best product. In the results of analyzing total 11,200 data sets of a specific product in portal sites and online markets, the customer satisfaction was 92% and there were some product defective issues in case of frequency analysis, so that it would be necessary to have the urgent improvement. According to the results of a survey on the use of the proposed model targeting the planners of products related to system operation, the items related to the system use satisfaction, system efficiency, and system effectiveness showed the satisfactory results higher than expected.
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Ahn, Yeong-Hwi, Koo-Rack Park, Dong-Hyun Kim, and Han-Jin Cho. "Logistic Regression Algorithm-Based Product Recommendation System Model." Journal of Computational and Theoretical Nanoscience 18, no. 5 (May 1, 2021): 1429–35. http://dx.doi.org/10.1166/jctn.2021.9619.
Повний текст джерелаАнотація:
It is very rare to see that the product development process is smoothly carried out with no trials and errors. In the process of producing new products, many difficulties are frequently occurring contrary to the expectation. In order to efficiently cope with such difficulties, it would be required to have the procedure for reflecting consumers’ needs by introducing and applying the recent Opinion Mining, Sentiment Analysis, and Logistic Regression to the product development process. This study used the linear regression and logistic regression models to predict a product with the highest purchase possibility, which was used for the newest marketing technique for the next best action or product recommendation, by analyzing the massive unstructured consumer data of portal sites and online markets, positiveness/negativeness, and predicting/analyzing the causes. Even though the concept itself of those models is simple, they are the most successful models in the logistic regression field. Some people may be opposed to call these models logistic regression. However, the concept itself is the same, and they are achieving such excellent results in the actual logistic regression. The logistic regression model is used for predicting a product with the highest purchase possibility in the newest marketing technique for the next best action or product recommendation. To conquer the new product market, the planning and development of new products are playing huge roles in the corporate performance and growth. The logistic regression-based product recommendation system model proposed by this thesis is the system for acquiring useful and accurate information to plan the best product. In the results of analyzing total 11,200 data sets of a specific product in portal sites and online markets, the customer satisfaction was 92% and there were some product defective issues in case of frequency analysis, so that it would be necessary to have the urgent improvement. According to the results of a survey on the use of the proposed model targeting the planners of products related to system operation, the items related to the system use satisfaction, system efficiency, and system effectiveness showed the satisfactory results higher than expected.
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Nishina, Kazuhiko, Nabil Maghrebi, and Mark J. Holmes. "Nonlinear Adjustments of Volatility Expectations to Forecast Errors: Evidence from Markov-Regime Switches in Implied Volatility." Review of Pacific Basin Financial Markets and Policies 15, no. 03 (September 2012): 1250007. http://dx.doi.org/10.1142/s0219091512500075.
Повний текст джерелаАнотація:
This paper tests for nonlinearities in the behavior of volatility expectations based on model-free implied volatility indices. Using Markov regime-switching models, the empirical evidence from the German, Japanese and U.S. markets suggests that there are indeed regime-specific levels of volatility expectations. Whereas the regimes seem to be governed by the degree of serial correlation and adjustment to forecast errors, there is no evidence of significant leverage effects. The frequency of regime shifts in volatility expectations is affected by the onset of financial crises, which have the effect of increasing the likelihood of regimes driven by lower autoregressive effects and faster speeds of adjustment. The evidence suggests that despite the heterogeneous beliefs of market participants, implied volatility indices provide a measure of consensus expectations that can be useful in understanding the nonlinear behavior of volatility expectations during periods of financial instability.
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Campbell, Sean D., and Steven A. Sharpe. "Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices." Journal of Financial and Quantitative Analysis 44, no. 2 (April 2009): 369–90. http://dx.doi.org/10.1017/s0022109009090127.
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AbstractPrevious empirical studies on the “rationality” of economic and financial forecasts generally test for generic properties such as bias or autocorrelated errors but provide only limited insight into the behavior behind inefficient forecasts. This paper tests for a specific form of forecast bias. In particular, we examine whether expert consensus forecasts of monthly economic releases are systematically biased toward the value of previous months’ releases. Such a bias would be consistent with the anchoring and adjustment heuristic described by Tversky and Kahneman (1974) or could arise from professional forecasters’ strategic incentives. We find broad-based and significant evidence for this form of bias, which in some cases results in sizable predictable forecast errors. To investigate whether market participants’ expectations are influenced by this bias, we examine interest rate reactions to economic news. We find that bond yields react only to the residual, or unpredictable, component of the forecast error and not to the component induced by anchoring, suggesting that expectations of market participants anticipate this bias embedded in expert forecasts.
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Eusepi, Stefano, and Bruce Preston. "Expectations, Learning, and Business Cycle Fluctuations." American Economic Review 101, no. 6 (October 1, 2011): 2844–72. http://dx.doi.org/10.1257/aer.101.6.2844.
Повний текст джерелаАнотація:
This paper develops a theory of expectations-driven business cycles based on learning. Agents have incomplete knowledge about how market prices are determined and shifts in expectations of future prices affect dynamics. Learning breaks the tight link between fundamentals and equilibrium prices, inducing periods of erroneous optimism or pessimism about future returns to capital and wages which subsequent data partially validate. In a real business cycle model, the theoretical framework amplifies and propagates technology shocks. Moreover, it produces agents' forecast errors consistent with business cycle properties of forecast errors for a wide range of variables from the Survey of Professional Forecasters. JEL: C53, D83, D84, E32, E37
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Chun, Heebum, William Park, Jungsub Kim, and ChaBum Lee. "In-Process Cutting Temperature Monitoring Method Based on Impedance Model of Dielectric Coating Layer at Tool-Chip Interface." Journal of Manufacturing and Materials Processing 6, no. 5 (September 8, 2022): 97. http://dx.doi.org/10.3390/jmmp6050097.
Повний текст джерелаАнотація:
This paper introduces a novel approach to in-process monitoring of the cutting temperature at the tool-chip interface (TCI). Currently, there are no tools available in the commercial market for measuring and monitoring cutting processes at the TCI region. Therefore, most of the studies about evaluating cutting temperature rely on simulation results without knowing the true temperature at the actual TCI region. In addition, recent cutting temperature measurement techniques have measurement errors occurring resulting from difficulty in estimations at the TCI region. However, the proposed method enables the measuring of cutting temperature by directly probing the localized TCI using a cutting tool coated with dielectric material. The study was conducted by utilizing the impedance characteristics of the dielectric outer layer of the cutting tool. A chemical vapor deposition (CVD) diamond coated insert that is commercially available was considered for the study to avoid wear effect. Impedance response of the dielectric layer under varying temperature conditions is assessed by Nyquist diagram using an impedance analyzer. The result of the Nyquist diagram showed temperature-dependent impedance characteristics that showed good agreement with the results from the thermal experiment which was a comparison between impedance response and elevated temperature. The impedance at the TCI for monitoring cutting temperature is measured under a turning process on a lathe using a constant current source. The impedance responses showed a significant decrease in impedance under various machining conditions which indicates a rise in cutting temperature. Moreover, different machining conditions showed different temperature profiles. The impedance responses were further characterized for depth of contact, which found that a drop in impedance corresponded to an increase in depth of contact. Therefore, the study showed that in-process monitoring of the cutting temperature is possible using an impedance model of the dielectric coating layer at the local TCI. Furthermore, with its versatility, this method is expected to measure the vibration, chatters, cutting force, and so on, as the results showed that impedance is not only sensitive to temperature but also to contact area. The application and expectation of this study is to provide real-time machining data to help end users in manufacturing industry to improve product quality, productivity, and prolonged lifespan of cutting tools.
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Koulafetis, Panayiota. "Alternative Estimating Methodologies of the UK Industry Cost of Equity Capital: The Impact of 2007 Financial Crisis and Market Volatility." International Journal of Economics and Finance 8, no. 1 (December 24, 2015): 111. http://dx.doi.org/10.5539/ijef.v8n1p111.
Повний текст джерелаАнотація:
<p>We compare estimates of the UK industry cost of equity capital between the unconditional beta Arbitrage Pricing Model (APM), the conditional beta APM and the Capital Asset Pricing Model (CAPM). A statistically significant eight-factor APM leads to the best estimates of the UK industry cost of equity capital. During our full sample time period any of the APMs, unconditional APM or conditional APM, do a much better job than the CAPM.</p>However at times of extreme market volatility during the 2007 financial crisis, the conditional APM is the best model with the least errors. During a financial crisis investors and market participants’ expectations are revised. Economic forces at play include: increased market uncertainty, increased investors’ risk aversion and capital scarcity. We find that the macroeconomic factors impeded in the Conditional APM that vary over time using the latest information in the market, incorporate the economic forces at play and capture the extreme market volatility. Our findings have direct implications in the financial markets for regulators, corporate financial decision makers, corporations and governments.
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Bobinaite, Viktorija, and Jānis Zuters. "Modelling Electricity Price Expectations in a Day-Ahead Market: A Case of Latvia." Economics and Business 29, no. 1 (August 1, 2016): 12–26. http://dx.doi.org/10.1515/eb-2016-0017.
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AbstractThe paper aims at modelling the electricity generator’s expectations about price development in the Latvian day-ahead electricity market. Correlation and sensitivity analysis methods are used to identify the key determinants of electricity price expectations. A neural network approach is employed to model electricity price expectations. The research results demonstrate that electricity price expectations depend on the historical electricity prices. The price a day ago is the key determinant of price expectations and the importance of the lagged prices reduces as the time backwards lengthens. Nine models of electricity price expectations are prepared for different natural seasons and types of the day. The forecast accuracy of models varies from high to low, since errors are 7.02 % to 59.23 %. The forecasting power of models for weekends is reduced; therefore, additional determinants of electricity price expectations should be considered in the models and advanced input selection algorithms should be applied in future research. Electricity price expectations affect the generator’s loss through the production decisions, which are made considering the expected (forecasted) prices. The models allow making the production decision at a sufficient level of accuracy.
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Doran, David T., and Robert Nachtmann. "The Association of Stock Distribution Announcements and Earnings Performance." Journal of Accounting, Auditing & Finance 3, no. 2 (April 1988): 113–32. http://dx.doi.org/10.1177/0148558x8800300203.
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This paper analyzes the association of unexpected earnings with stock dividend and stock split announcements. Unexpected earnings are modeled as the percentage deviation of actual earnings from expected. Value Line's earnings forecasts are used as a surrogate for the market's timely expectation of future earnings. The primary findings are: (1) postdistribution earnings realizations are greater than expected; and (2) deviations of realized earnings from expected are (a) directly related to the size of the stock distribution and (b) inversely related to the level of market anticipation of the event. Further, distribution size may be a proxy for market anticipation in that small distributions (stock dividends) are dominated by anticipated events and large distributions (stock splits) by unanticipated events. These findings are robust across samples that control for large measurement error due to small levels of forecasted earnings, and event contamination due to the simultaneous announcement of firm-related events. Examination of analysts' forecasts immediately following the event indicates a significant upward revision in earnings expectations. This finding, coupled with an analysis of a control sample of Value Line earnings forecasts, indicates that the observed unexpected earnings are not the result of systematic Value Line forecast error. Therefore, the paper provides support for the notion that stock distribution announcements convey future earnings information.
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Valencia-Arboleda, Carlos Felipe, and Diego Hernan Segura-Acosta. "Estimating Market Expectations for Portfolio Selection Using Penalized Statistical Models." Revista Científica 38, no. 2 (May 1, 2020): 133–46. http://dx.doi.org/10.14483/23448350.15797.
Повний текст джерелаАнотація:
The portfolio selection problem can be viewed as an optimization problem that maximizes the risk–return relationship. It consists of a number of elements, such as an objective function, decision variables and input parameters, which are used to predict expected returns and the covariance between the said returns. However, the real values of these parameters cannot be directly observed; thus, estimations based on historical data are required. Historical data, however, can often result in modelling errors when the parameters are replaced by their estimations. We propose to address this by using some regularization mechanisms in the optimization. In addition, we explore the use of implicit information to improve the portfolio performance, such as options market prices, which are a rich source of investor expectations. Accordingly, we propose a new estimator for risk and return that combines historical and implicit information in the portfolio selection problem. We implement the new estimators for the mean-VAR and mean-VaR2 problems using an elastic-net model that reduces the risk of all estimations performed. The results suggest that the model has a good out-of-sample performance that is superior to models with pure historical estimations.
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Guedes, Gilvan, Rodrigo Raad, and Lucélia Raad. "Welfare Consequences of Persistent Climate Prediction Errors on Insurance Markets against Natural Hazards." Estudos Econômicos (São Paulo) 49, no. 2 (April 2019): 235–64. http://dx.doi.org/10.1590/0101-41614922grl.
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Abstract This paper studies the welfare consequences of the friction between two groups, those with and those without rational expectations, in an incomplete insurance market. We validate this friction empirically and test the existence of additional heterogeneity in the probability of belonging to the group which makes persistent mistakes on the anticipation of climate events using econometric models. The econometric models further suggest that the probability of belonging to this group varies significantly by sociodemographic attributes of respondents and by the geophysical attributes of their places of residence. Based on this evidence, we develop a two-period model of private insurance under uncertainty with endogenous prices. By including a central planner providing a technology for access to accurate information, our example illustrates that public intervention (via taxation) would only be feasible if public expenditure in the provision of this technology did not exceed 9.188% of the aggregate income earned by agents with inaccurate expectations.
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Dey, Kushankur, and Debasish Maitra. "Can futures markets accommodate Indian farmers?" Journal of Agribusiness in Developing and Emerging Economies 6, no. 2 (November 14, 2016): 150–72. http://dx.doi.org/10.1108/jadee-08-2013-0029.
Повний текст джерелаАнотація:
Purpose It has become an ongoing debate whether Indian commodity futures markets can accommodate farmers. The purpose of this paper is to examine whether Indian commodity futures markets help rationalize farmers’ price expectation. The study starts with questions on the efficiency and other roles of commodity futures markets. Design/methodology/approach From a sectoral standpoint and economic importance, the study considers pepper, coffee, and natural rubber (NR) futures and spot markets. The efficiency of futures markets, divergence/convergence and causality between futures and spot markets have been studied by employing co-integrations, error correction and causality models. The sample period of the data are taken from the inception of futures trading. These three commodities are also compared on the basis of trading at the futures markets vs spot markets. Findings Analysis shows that though pepper futures market is informationally efficient in price discovery, while coffee and NR spot markets do the process faster. Pepper and coffee futures and spot prices exhibit the convergence; NR shows a sign of divergence. Unidirectional causality from pepper futures to spot market is observed wherein the former was weakly exogenous to the latter and while, bidirectional causality is observed in coffee and rubber. Coffee spot appears weakly exogenous while this remains inconclusive in the case of NR. Research limitations/implications The authors analyzed the futures markets in rationalizing the spot market price in three plantation crops in India. In order to make the study more generalizable, further research is warranted in other commodities including those prices of which are government regulated. Originality/value The paper is unique in terms of understanding the interaction or interrelationship between futures markets and spot markets and drawing inferences about the role of futures markets in price formation in plantation commodities like pepper, coffee and NR.
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Olipra, Jakub. "Leading properties of GDT auctions for dairy prices." British Food Journal 122, no. 7 (April 27, 2020): 2303–28. http://dx.doi.org/10.1108/bfj-06-2018-0404.
Повний текст джерелаАнотація:
PurposeProfessionals from the dairy sector commonly believe that the results of Global Dairy Trade (GDT) auctions are a good leading indicator for prices of dairy commodities. The purpose of this paper is to test that hypothesis for prices of key dairy commodities (skimmed milk powder (SMP), whole milk powder (WMP), butter and cheddar) in the main dairy markets (the US, EU and Oceania).Design/methodology/approachThe leading properties of the GDT auctions are investigated using vector error correction models (VECM).FindingsThe results show that prices at GDT auctions may be treated as a benchmark for global prices of WMP and SMP as they affect prices in all considered markets. However, in case of EU market the relationship with the GDT is bidirectional. GDT prices reveal some leading properties also in cheddar market, however price relationships in this market are much more complex. In case of butter market, GDT can be regarded as a benchmark only for Oceania.Practical implicationsThe results of this paper improve knowledge on price transmission in dairy markets, show the role of the GDT auctions in the price setting process, and thus may help professionals from the dairy sector to formulate their price expectations more precisely.Originality/valueDespite the fact that many professionals from the dairy sector treat GDT auctions as a benchmark, so far their leading properties have not been scientifically proven.
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Bonga-Bonga, Lumengo. "Equity Prices, Monetary Policy, And Economic Activities In Emerging Market Economies: The Case Of South Africa." Journal of Applied Business Research (JABR) 28, no. 6 (October 25, 2012): 1217. http://dx.doi.org/10.19030/jabr.v28i6.7337.
Повний текст джерелаАнотація:
<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNormal"><span style="font-family: Times New Roman;"><span style="color: black; font-size: 10pt; mso-themecolor: text1;">This paper investigates the possible influence equity price shocks have on economic activities and inflation in emerging market economies such as South Africa. Moreover, the paper discusses the role monetary policy action should play in preventing or reducing the disruptive effects of equity market volatility in emerging markets. It uses the structural vector error correction (SVEC) model to identify the different shocks and obtain the impulse response functions in a case study of South Africa. The paper finds that positive shocks to equity prices negatively affect expected inflation in the first two quarters before the effect becomes positive. This finding indicates that initially </span><span lang="EN-ZA" style="color: black; font-size: 10pt; mso-themecolor: text1; mso-ansi-language: EN-ZA;">high stock market valuations raise the expectation of high capital and labour productivity by investors. Later on, the possibility of high stock prices increasing economic activity creates an expectation of high inflation rates in the future. From this finding, the paper concludes that the monetary authority in emerging markets in general and South Africa in particular should include equity prices in its reaction function. </span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>
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Bhattacharya, Nilabhra. "Investors' Trade Size and Trading Responses around Earnings Announcements: An Empirical Investigation." Accounting Review 76, no. 2 (April 1, 2001): 221–44. http://dx.doi.org/10.2308/accr.2001.76.2.221.
Повний текст джерелаАнотація:
Prior research suggests that the earnings expectations of a segment of the market can be described by the seasonal random-walk model. Prior research also provides evidence that less wealthy and less informed investors tend to make smaller trades (small traders) than wealthier and betterinformed investors (large traders). I hypothesize that it is the earnings expectations of small traders that are associated with predictions from the seasonal random-walk model. By directly analyzing the trading activities of small and large traders, this study provides evidence that is largely consistent with the hypotheses. Specifically, small traders' trading response around earnings announcements is increasing in the magnitude of seasonal random-walk forecast errors, even after controlling for absolute analyst forecast errors, contemporaneous price changes, and market-wide trading. Supplementary analysis reveals that this effect is largely confined to firms with relatively impoverished information environments (i.e., smaller firms and firms with little to moderate analyst following).
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Hassan, Tarek A., and Thomas M. Mertens. "The Social Cost of Near-Rational Investment." American Economic Review 107, no. 4 (April 1, 2017): 1059–103. http://dx.doi.org/10.1257/aer.20110433.
Повний текст джерелаАнотація:
We show that the stock market may fail to aggregate information even if it appears to be efficient, and that the resulting decrease in the information content of prices may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and households make small, correlated errors when forming expectations about future productivity. As information aggregates in the market, these errors amplify and crowd out the information content of stock prices. When prices reflect less information, the conditional variance of stock returns rises, causing an increase in uncertainty and costly distortions in consumption, capital accumulation, and labor supply. (JEL D14, D83, D84, E21, E22, E24, G14)
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Adedeji, Jacob Adedayo, Xoliswa Feikie, Thywill Cephas Dzogbewu, and Mohamed Mostafa. "Reaction behaviour of drivers to marked and unmarked road: Ghana perspective." Put i saobraćaj 67, no. 1 (March 22, 2021): 1–6. http://dx.doi.org/10.31075/pis.67.01.01.
Повний текст джерелаАнотація:
Africa is the leading continent globally in the rate of road traffic fatalities, yet it is the least motorized compared to the other five continents. This predicament is said to be one of the leading cause of death among youth and generally, rated as one of the ten causes of death in the world. Exclusively, Ghana’s rate of traffic fatalities is growing despite the efforts invested in reducing it. Nevertheless, more focus needs to be invested in the traffic control systems such as traffic signals, signs or road markings. As this system tends to considerably reduce the number of conflicts and minimize road user’s errors. Furthermore, this system creates drivers’ expectations of the conditions which they will meet ahead and the driving tasks required. If misleading information is provided, or none is available, hazardous situations can result. Overall, this traffic system is inadequate or lacking in most developing countries as there are no proper maintenance strategies in place. Thus, this study investigates and evaluates the reaction of drivers to the marked and unmarked roads. Using random quantitative sampling methods, Ghanaian drivers were interviewed on their experiences when driving on the marked and unmarked road. Overall, this study will highlight the necessity of road markings in reducing traffic fatality rate and the psychological effect of the unavailability of road marking on drivers’ expectation and consequently, the effect on their behaviour in most developing countries.
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In, Francis, and Jonathan A. Batten. "Expectations and Equilibrium in High-Grade Australian Bond Markets." Review of Pacific Basin Financial Markets and Policies 08, no. 04 (December 2005): 573–92. http://dx.doi.org/10.1142/s0219091505000543.
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This paper examines the equilibrium implications of the Expectations Hypothesis of term structure to different maturities of high-grade Australian dollar denominated Eurobonds and Australian Government bonds (AGBs) using the Canonical Cointegrating Regression (CCR) technique developed by Econometrica 60 (1992) 119. Our findings provide evidence only for equilibrium relationships between each group of bonds based on credit class, but not between any of the subsets of AGBs and the Eurobonds. Furthermore, the error correction model supports theory with the most liquid, long-term 10-year AGB driving the AGB term structure, with short-term yields adjusting to movements in the long-run yields, though the opposite is true for Eurobonds. The lesson for markets is to simplify the risk management task. Managers are advised to treat portfolios of equivalent credit class separately for hedging and risk management.
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Gordon, Derek, Yaning Yang, Chad Haynes, Stephen J. Finch, Nancy R. Mendell, Abraham M. Brown, and Vahram Haroutunian. "Increasing Power for Tests of Genetic Association in the Presence of Phenotype and/or Genotype Error by Use of Double-Sampling." Statistical Applications in Genetics and Molecular Biology 3, no. 1 (January 6, 2004): 1–32. http://dx.doi.org/10.2202/1544-6115.1085.
Повний текст джерелаАнотація:
Phenotype and/or genotype misclassification can: significantly increase type II error probabilities for genetic case/control association, causing decrease in statistical power; and produce inaccurate estimates of population frequency parameters. We present a method, the likelihood ratio test allowing for errors (LRTae) that incorporates double-sample information for phenotypes and/or genotypes on a sub-sample of cases/controls. Population frequency parameters and misclassification probabilities are determined using a double-sample procedure as implemented in the Expectation-Maximization (EM) method. We perform null simulations assuming a SNP marker or a 4-allele (multi-allele) marker locus. To compare our method with the standard method that makes no adjustment for errors (LRTstd), we perform power simulations using a 2^k factorial design with high and low settings of: case/control samples, phenotype/genotype costs, double-sampled phenotypes/genotypes costs, phenotype/genotype error, and proportions of double-sampled individuals. All power simulations are performed fixing equal costs for the LRTstd and LRTae methods. We also consider case/control ApoE genotype data for an actual Alzheimer's study.The LRTae method maintains correct type I error proportions for all null simulations and all significance level thresholds (10%, 5%, 1%). LRTae average estimates of population frequencies and misclassification probabilities are equal to the true values, with variances of 10e-7 to 10e-8. For power simulations, the median power difference LRTae-LRTstd at the 5% significance level is 0.06 for multi-allele data and 0.01 for SNP data. For the ApoE data example, the LRTae and LRTstd p-values are 5.8 x 10e-5 and 1.6 x 10e-3, respectively. The increase in significance is due to adjustment in the LRTae for misclassification of the most commonly reported risk allele. We have developed freely available software that performs our LRTae statistic.
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Suhendra, Indra. "PENGARUH FAKTOR FUNDAMENTAL, FAKTOR RESIKO, DAN EKSPEKTASI NILAI TUKAR TERHADAP NILAI TUKAR RUPIAH (TERHADAP DOLLAR) PASCA PENERAPAN SISTEM KURS MENGAMBANG BEBAS PADA TANGGAL 14 AGUSTUS 1997 (PERIODE SEPTEMBER 1997 S.D. DESEMBER 2001)." Buletin Ekonomi Moneter dan Perbankan 6, no. 1 (June 17, 2004): 34–57. http://dx.doi.org/10.21098/bemp.v6i1.322.
Повний текст джерелаАнотація:
In a free floating rate system, the exchange rate is determined directly by market forces, and is liable to fluctuate continually, to follow changing market condition. This system assumes the absence of any systematic government intervention in the foreign exchange market, so exchange rate will move freely in response to market force. It mean that exchange rate is determined by fundamentals, risk, and exchange rate (Rp/US$) expectation factor.The purpose of this research is to identify the problems of the correlation of fundamental factor (like is differences of interest rate, relative prices rate, Real GDP, money supply, net foreign assets, foreign direct investment, foreign indirect investment, external debt growth, payment of private external debt, export, and import), risk factor (country risk index), and expectation of exchange rate (Rp/US$) against rupiah’s exchange rate after applying the freely floating exchange rate system in august 14, 1997. This research use time series for 52 months, which is period September 1997 until December 2001.This study use two kinds of model, that is; (a) cointegration equation model, and (b) dynamic model; Error Correction Model (ECM). The estimated completed by the test of classic assumptions, and validation test of ECM.Based cointegration analysis and Error Correction Model (ECM) against research model, have the result that for 52 months (1997:9-2001:12), that differences of interest rate, relative prices rate, net foreign assets, foreign direct investment, foreign indirect investment, external debt growth, payment of private external debt, export, country risk index, and expectation of exchange rate (Rp/US$) have correlation against rupiah’s exchange rate in short and long terms, except Real GDP, money supply, and import only have correlation against rupiah’s exchange rate in long term.Determination for research model, with cointegration equation model is bigger then ECM method. This give the indication that in long term variation of hypothesis independent variable more able explained than variation of dependent variable (rupiah’s exchange rate) compare with in short term.Keyword : Exchange Rate, Fundamentals, Risk, and Exchange Rate Expectation Factor
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Calvo-Pardo, Hector, Xisco Oliver, and Luc Arrondel. "Subjective Return Expectations, Perceptions, and Portfolio Choice." Journal of Risk and Financial Management 15, no. 1 (December 30, 2021): 6. http://dx.doi.org/10.3390/jrfm15010006.
Повний текст джерелаАнотація:
Exploiting a representative sample of the French population by age, wealth, and asset classes, we document novel facts about their expectations and perceptions of stock market returns. Both expectations and perceptions of returns are very dispersed, significantly lower than their data counterparts, and a substantial portion of the variation in the former is explained by dispersion in the latter. Consistent with portfolio choice models under incomplete information, a conditional risk-return trade-off explains the intensive margin, while at the extensive margin, only expected returns matter. Despite accounting for survey measurement error in subjective return expectations, ’muted sensitivities’ at both portfolio choice margins obtain, getting consistently (i) bigger when excluding informed non-participants, and (ii) smaller, for inertial and professionally delegated portfolios.
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Thị Nhung, Nguyễn, Trần Thị Vân Anh, Nguyễn Tố Nga, Vương Thùy Linh, and Đinh Xuân Cường. "Price discovery and information transmission across stock index futures: evidence from VN 30 Index Futures on Vietnam’s stock market." Investment Management and Financial Innovations 16, no. 4 (December 19, 2019): 262–76. http://dx.doi.org/10.21511/imfi.16(4).2019.23.
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The introduction of the first tradable stock index futures of VN 30 is a very good signal showing that Vietnam is starting to have a high-level financial market, which brings many expectations about sustainable and safe development of its stock market. However, risk concerns of this type of derivative products have been raising with many claims since then. This article aims to provide empirical evidences to show if futures trading plays important role of price discovery and information transmission for spot market. Using daily data collected about VN 30 Index Futures, VN 30 Index, VN Index from August 10, 2017 to February 28, 2019, which is divided into three sub-periods (increase/decrease/recovery), the research verifies VN 30 Index Futures’ role of price discovery and information transmission by applying Vector Error Correction Model (VECM). Empirical findings show that there is a stable equilibrium relationship between the two series groups (including VN 30 Index Futures, VN 30 Index and VN 30 Index Futures and VN Index) during three sub-periods or spot and futures markets are integrated and synchronized. In particular, VN 30 Index Futures’ price discovery and information transmission are clearly seen when the market falls or does not change a lot.
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Yang, Yang, Mingquan Zhou, and Michael Rehm. "Housing prices and expectations: a study of Auckland." International Journal of Housing Markets and Analysis 13, no. 4 (January 27, 2020): 601–16. http://dx.doi.org/10.1108/ijhma-12-2019-0122.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is twofold. First, the study aims to test whether expectations are adaptive in the Auckland housing market. The second purpose is to examine the interplay between expectations and Auckland housing prices. Design/methodology/approach In this study, two vector error correction models (VECM) are built: one VECM includes survey-based expectations and another one encompasses model-based expectations with the assumption that property investors’ expectations are adaptive. The paper goes on by comparing and examining the results of Granger causality tests and impulse response analyses. Findings The findings reveal that Auckland property buyers’ expectations are adaptive. In addition, this study provides some evidence of a feedback cycle between Auckland housing prices and expectations. Research limitations/implications This study posits that Auckland property buyers’ expectations in the next 12 months are based on three-year price movements with more emphasis being placed on recent price history. This assumption may not be an accurate reflection of true expectations. Practical implications This paper helps policymakers to deepen their understanding of Auckland property buyers by showing that their expectations form through the extrapolation of the past price trend. Originality/value The study possibly marks the first attempt to test and compare the relationship between housing prices and two forms of expectations: survey-based and model-based. Additionally, this study is probably the first one that empirically examines whether there is a feedback cycle between expectations and property prices in the Auckland housing market.
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Szu, Wen-Ming, and Wan-Ru Yang. "Influence of individual investor sentiment on Taiwan option prices during 2007-2010 financial crisis." Managerial Finance 41, no. 5 (May 11, 2015): 437–64. http://dx.doi.org/10.1108/mf-02-2014-0028.
Повний текст джерелаАнотація:
Purpose – This paper investigates changes in risk-neutral distribution derived from Taiwan stockindex options under different market conditions. The purpose of this paper is to explore whether individual investor sentiment significantly influences the Taiwan option prices. Design/methodology/approach – The authors adopt the optimization method to estimate the risk-neutral distribution from the Taiwan stock index options and use the t-test to examine the difference in risk-neutral skewness, kurtosis, and confidence interval between the pre-crisis and crisis periods. This paper tests the impact of individual investor sentiment on risk-neutral skewness and confidence interval in two sub-periods. Findings – The authors find that errors in individual investors’ expectations significantly influence the Taiwan stock index option prices. Research limitations/implications – The data concerning the sentiment of speculative institutional investors are incomplete for the Taiwan option market. Therefore, this paper focusses on the analysis of individual investor sentiment. Further research can study the impact of institutional investor sentiment in emerging markets. Social implications – The previous literature has suggested that option prices reflect information before the information is revealed in stock prices. Therefore, an important implication is to analyze the information quality revealed in option prices by studying whether the changes in option prices are due to investor sentiment or non-sentiment-related components. Originality/value – Most of the studies in the literature have focussed on the US option market, and their applicability may vary across different microstructures. This paper shows that the influence of individual investor sentiment in an emerging market is different from that in the US market.
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Espinoza-Audelo, Luis F., Maricruz Olazabal-Lugo, Fabio Blanco-Mesa, Ernesto León-Castro, and Victor Alfaro-Garcia. "Bonferroni Probabilistic Ordered Weighted Averaging Operators Applied to Agricultural Commodities’ Price Analysis." Mathematics 8, no. 8 (August 12, 2020): 1350. http://dx.doi.org/10.3390/math8081350.
Повний текст джерелаАнотація:
Financial markets have been characterized in recent years by their uncertainty and volatility. The price of assets is always changing so that the decisions made by consumers, producers, and governments about different products is not still accurate. In this situation, it is necessary to generate models that allow the incorporation of the knowledge and expectations of the markets and thus include in the results obtained not only the historical information, but also the present and future information. The present article introduces a new extension of the ordered weighted averaging (OWA) operator called the Bonferroni probabilistic ordered weighted average (B-POWA) operator. This operator is designed to unify in a single formulation the interrelation of the values given in a data set by the Bonferroni means and a weighted and probabilistic vector that models the attitudinal character, expectations, and knowledge of the decision-maker of a problem. The paper also studies the main characteristics and some families of the B-POWA operator. An illustrative example is also proposed to analyze the mathematical process of the operator. Finally, an application to corn price estimation designed to calculate the error between the price of an agricultural commodity using the B-POWA operator and a leading global market company is presented. The results show that the proposed operator exhibits a better general performance than the traditional methods.
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Aldy, Joseph E., and Sarah Armitage. "Cost-Effectiveness Implications of Carbon Price Certainty." AEA Papers and Proceedings 110 (May 1, 2020): 113–18. http://dx.doi.org/10.1257/pandp.20201083.
Повний текст джерелаАнотація:
While a firm knows the carbon price with certainty under a tax, it must form an expectation about future allowance prices to identify its cost-effective abatement investment under a capand-trade program. We illustrate graphically how errors in forming this expectation increase the costs of irreversible pollution abatement investment under cap-and-trade relative to a tax. We describe empirical “cost-effectiveness anomalies” in allowance markets that may be attributed to cap-and-trade's inherent uncertainty. We model investment under simulated US carbon tax and cap-and-trade policies and find that allowance price uncertainty can increase resource costs 20 percent for a given quantity of emission abatement.
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Vayas-Ortega, Germania, Cristina Soguero-Ruiz, José-Luis Rojo-Álvarez, and Francisco-Javier Gimeno-Blanes. "On the Differential Analysis of Enterprise Valuation Methods as a Guideline for Unlisted Companies Assessment (I): Empowering Discounted Cash Flow Valuation." Applied Sciences 10, no. 17 (August 25, 2020): 5875. http://dx.doi.org/10.3390/app10175875.
Повний текст джерелаАнотація:
The Discounted Cash Flow (DCF) method is probably the most extended approach used in company valuation, its main drawbacks being probably the known extreme sensitivity to key variables such as Weighted Average Cost of Capital (WACC) and Free Cash Flow (FCF) estimations not unquestionably obtained. In this paper we propose an unbiased and systematic DCF method which allows us to value private equity by leveraging on stock markets evidences, based on a twofold approach: First, the use of the inverse method assesses the existence of a coherent WACC that positively compares with market observations; second, different FCF forecasting methods are benchmarked and shown to correspond with actual valuations. We use financial historical data including 42 companies in five sectors, extracted from Eikon-Reuters. Our results show that WACC and FCF forecasting are not coherent with market expectations along time, with sectors, or with market regions, when only historical and endogenous variables are taken into account. The best estimates are found when exogenous variables, operational normalization of input space, and data-driven linear techniques are considered (Root Mean Square Error of 6.51). Our method suggests that FCFs and their positive alignment with Market Capitalization and the subordinate enterprise value are the most influencing variables. The fine-tuning of the methods presented here, along with an exhaustive analysis using nonlinear machine-learning techniques, are developed and discussed in the companion paper.
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LANSING, KEVIN J. "LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL." Macroeconomic Dynamics 10, no. 3 (March 24, 2006): 317–48. http://dx.doi.org/10.1017/s1365100506050231.
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This paper examines an agent's choice of forecast method within a standard asset pricing model. A representative agent may choose: (1) a fundamentals-based forecast that employs knowledge of the dividend process, (2) a constant forecast that is based on a simple long-run average, or (3) a time-varying forecast that extrapolates from the last observation. I show that an agent who is concerned about minimizing forecast errors may inadvertently become “locked-in” to an extrapolative forecast. In particular, the initial use of extrapolation alters the law of motion of the forecast variable so that the agent perceives no accuracy gain from switching to one of the alternative forecast methods. The model can generate excess volatility of stock prices, time-varying volatility of returns, long-horizon predictability of returns, bubbles driven by optimism about the future, and sharp downward movements in stock prices that resemble market crashes.
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Weale, Martin. "DO ECONOMISTS EXPECT TOO MUCH FROM EXPECTATIONS?" National Institute Economic Review 255 (February 2021): 25–41. http://dx.doi.org/10.1017/nie.2020.47.
Повний текст джерелаАнотація:
Modern economic theory gives an important role to expectations as an influence on outcomes. This paper reviews evidence on how well measures of expectations conform to outcomes. It confirms earlier results that measures taken from financial markets perform poorly as predictors of outcomes. Looking at the individual responses to the Confederation of British Industry’s Industrial Trends Survey, it does find, however, that there are significant correlations between expected and realised outcomes of wages, prices, costs orders and employment. It also finds some evidence that actual prices reflect expected future prices, but with a coefficient much lower than economic theory predicts. There is evidence that forecast errors are explained by past forecasts, as well as revisions to the economic outlook, casting doubt on the idea that firms’ forecasts make the best use of the information available at the time. The paper concludes by observing that, while expectations are undoubtedly important, economists need to build on work looking at how they are derived instead of simply assuming they are rational.
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Srisuksai, Pithak ,., and Vimut Vanitcharearnthum. "The Pricing Model of Rice: Evidence from Thailand." WSEAS TRANSACTIONS ON BUSINESS AND ECONOMICS 19 (July 22, 2022): 1245–54. http://dx.doi.org/10.37394/23207.2022.19.110.
Повний текст джерелаАнотація:
Although the rice market in Thailand is linked tightly with the world market, it is fraught with government intervention policies from time to time. In 2011 the Yingluck Shinawatra government embarked the rice pledging scheme that aimed to bid up domestic paddy prices above the global market. Such scheme set the premium of 40-50 percent higher than the world price. Nevertheless, the program was discontinued in 2014. This paper attempts to shed light on how the price structure in Thailand was affected by government intervention policies. In particular, we conducted a field survey to unearth the transmission mechanism that channel information about market factors on prices in various levels, ranging from world rice price to the wholesale paddy prices. The findings show that the paddy price was mainly determined by the rice mill, the central paddy market, the middleman, and the exporters. The government intervention policies could influence the paddy price temporarily, i.e., when the scheme was in place. In the long-run equilibrium, the paddy price is determined by a combination of the price at which the mills are willing to buy and the world price. Our empirical investigation, based on the Engel-Granger Cointegration test and the Error-correction model, confirms this conjecture. Moreover, the price expectation embedded in the millers’ offer price played a significant role in the price discovery process. The causality test revealed that the expected future price causes the spot wholesale price in the Granger sense. It is also found that the causation is bi-directional implying that the flows of information between markets are essential in determining the equilibrium price in the rice market.
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Poss, Madeline, Kalyn T. Coatney, Daniel Rivera, Thu Dinh, Randall D. Little, and Josh G. Maples. "Marketing Fed Cattle Based on Expectations of the Underlying Carcass Value Dynamics." Journal of Agricultural and Applied Economics 54, no. 1 (November 24, 2021): 28–52. http://dx.doi.org/10.1017/aae.2021.27.
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AbstractFed cattle profitability is determined by complicated dynamic processes of body growth, carcass development, and seasonal prices. A structural model is constructed to contend with all these dynamic processes to predict optimal market timing. Informed simulations are conducted and compared to those observed in the data, as well as to a previous model ignoring the evolution of carcass value. The results indicate that significant improvements to profitability are attainable with the new method. The results also indicate the opportunity cost of not accounting for carcass value, even with error, is more severe than when these dynamics are ignored.
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Fryani, Malau Asima, and Kristina Sisilia. "ANALISIS PROFIL KONSUMEN UNTUK APLIKASI MARKET PLACE PRODUK FURNITUR KAYU JATI." PERFORMANCE: Jurnal Bisnis & Akuntansi 10, no. 1 (May 14, 2020): 47–62. http://dx.doi.org/10.24929/feb.v10i1.971.
Повний текст джерелаАнотація:
On globalization era, there is a growing desire of consumers who want everything to be easy to meet their needs and desires, so there are now a lot of marketplace application that have sprung up where the application can facilitate consumers. One of the job is to buy furniture. Phenomenon is found that there is not marketplace application espessially for sells teak wood furniture. The aims of this research is to find out how is the customer profile is the which includes perceptions and expectations for the user segment teak wood furniture using marketplace application.This research is decriptive with qualitative approach. The technique of collecting data is interview, observation dan documentation. The study using design canvas value proposition by Alexander Osterwalder and Yves Pigneur to determine customer profile. In this research customer perceptions and expectations is a original product, guarantee of warranty, easy payment method, the application easy to use and understand, valid information, fitur and interested design, admin fast response, minimal error occurred, no ads often appear, do not feel loss, updates on new products, save time, save money, and application is released soon..
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Sartono, R. Agus. "The Existence of Equilibrium Asset Price Under Diverse Information." Gadjah Mada International Journal of Business 7, no. 3 (September 12, 2005): 351. http://dx.doi.org/10.22146/gamaijb.5583.
Повний текст джерелаАнотація:
We investigate the effects of diverse information on the price of risky assets in rational expectation model. The expected cash flows innovation is considered as private information where informed trader knows it. It is assumed that the high informed trader has smaller variance error regarding the cash flows innovation than the low informed trader and uninformed traders. We found that the cash flow innovation influences the demand of informed trader. The market depth is a linear function of the demand of uninformed trader and weighted average of total variance error of information. Our finding supports previous research done by Spiegel and Subrahmanyam (1992).Our model shows that the more diverse the information, the higher the lambda coefficient which means the market becomes less liquid. The models consistent with Miller (1977) who found that the bigger the gap of private information is, the less liquid the market will be. If both informed traders have the same information they will demand the same amount of risky asset and it turns out to be similar as in the Kyle (1985) model.
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Šerić, Neven, Silvija Vitner Marković, and Svemir Tamari Tutnjević. "Proposed Concept of Segmentation of Traditional Japanese Emissive Market for Managing Tourist Promotion of Mediterranean Countries." Annals of the Alexandru Ioan Cuza University - Economics 62, no. 3 (November 1, 2015): 313–24. http://dx.doi.org/10.1515/aicue-2015-0021.
Повний текст джерелаАнотація:
Abstract The concept of segmentation strategy of targeted emissive market is a usable starting point for efficient managing of promotion of receptive tourist destination. Growth in number of competing Mediterranean countries receptive tourist offers, conditions the need for the segmentation of specific emissive markets within the scope of the adjustment in the promotion itself. If this condition is not met, the presence of certain tourist segments may fail to meet the expectations. Segmentation becomes a strategic marketing tool of specialized tourist promotion of the receptive country itself when dealing with the emissive market characterized by the high non-accommodation, self-catering vacation rentals consumption. Promotion in tourism should send clear messages to the sought after, tourist segments regarding what is and how it is being offered. Undifferentiated marketing meant only for specific emissive market, weakens the tourist offers competitiveness and attractiveness. The strategic segments comprised in the process of segmentation, are selected in accordance with both the ability to meet the interests and trends in guests behaviour with available tourist resources of the receptive country. Tourist promotion thus takes over the role of the marketing tool in combining of the supply and demand, always in accordance with the goal strategic segment’s standards of the targeted emissive market. For the purpose of this paper the research of Japanese emissive market has been conducted. All tourist segments that can help Mediterranean countries, such as the Republic of Croatia to achieve the growth in tourist consumption and prolong the tourist season, are presented. Research and indepth analysis showed certain errors in the tourist promotion due to the neglect of the cultural specific quality and historic genesis of the targeted market. The fundamental research question is: there are enough segments on the Japanese emissive market for the efficient promotion of tourist resources of a typical Mediterranean country. All recommendable segments that can be classified as strategic are presented in this paper.
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Kremser, Thomas, and Margarethe Rammerstorfer. "Predictive Performance and Bias: Evidence from Natural Gas Markets." Journal of Management and Sustainability 7, no. 2 (May 30, 2017): 1. http://dx.doi.org/10.5539/jms.v7n2p1.
Повний текст джерелаАнотація:
This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders’ expectations and implement a mechanical forecasting model that allows traders to predict future spot prices. Based on this, we compute the deviations between expected and realized spot prices and analyze possible reasons and dependencies with other market variables. Overall, the mechanical predictor performs well, but a small forecast error remains which can not be characterized by the explanatory variables included.
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Gevorkyan, Aleksandr V. "The foreign exchange regime in a small open economy: Armenia and beyond." Journal of Economic Studies 44, no. 5 (October 9, 2017): 781–800. http://dx.doi.org/10.1108/jes-08-2016-0155.
Повний текст джерелаАнотація:
Purpose Offering an example of a small open developing economy, the purpose of this paper is to explore the reasons for relative stability in Armenia’s foreign exchange market. Relying on a single currency and derived cross-currency exchange rates, the paper models short-term effects between exchange market pressure and financial and macroeconomic factors. Design/methodology/approach Following a literature review, the paper sets the macroeconomic context with an initial variance comparison of standard currency pairs and derived cross-currency exchange rates. Then, the core analysis is carried out with a vector error correction model, focusing on short-term cross-dynamics in monthly data. The orthogonal impulse response function analyses help solidify and further inform relevant conclusions. Findings Three broad factors influence Armenia’s foreign exchange market: external push factors; domestic banking sector competition, and foreign currency risk perceptions; and domestic macroeconomic and dual, cross-pair, exchange rate target priorities. The central bank’s implicit management of the foreign exchange market’s expectations, pull factor, is consistent with trader market power’s contribution to lower volatility. Yet, the risk of financial and real-sector decoupling remains. Originality/value The results are relevant for emerging markets attempting to leverage the global liquidity and low interest rates, while being exposed to external pressures in the post-crisis environment, in which international reserves may be scarce while currency stability is an implied priority. This study can be further adapted to a more comprehensive structural short-term analysis of currency determination or similar dynamics in other small open economies.
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Zhu, Heliang, Xi Zhang, and Patricia Ordóñez de Pablos. "An Empirical Study on China's Gold Futures Market Hedging Performance." International Journal of Asian Business and Information Management 5, no. 2 (April 2014): 85–98. http://dx.doi.org/10.4018/ijabim.2014040107.
Повний текст джерелаАнотація:
In the current financial crisis, promoting rapid developments of gold industry, ensuring healthy operations of national economy, and actively developing the gold futures market are very important. Functioning of the gold futures market will determine the gold market maturity and integrity. Risk transfer is one of the two basic functions of futures market. The risk transfer function is realized through hedging. China's gold futures market has been in market for more than four years, is the risk transfer function fully realized? How the performance of hedging? Based on the data of futures prices and spot prices from January 9th of 2008 to December 31st of 2010, we use the following four statistical models such as traditional regression model (OLS), two-variable vector auto regression model (B-VAR), error correction hedging model (ECM), and error correction GARCH model (EC-GARCH) to perform stationarity and cointegration test On the basis of minimum risk hedge ratio estimated, the following conclusions are made based on the study: (1) As China's gold futures market has run for more than three years, hedge is effective through the gold futures market, which can significantly reduce the participants ‘ risk of price fluctuation; (2)In practice, hedging ratio should be rationally determined by different models according to different hedging length and different expectations. Based on these conclusions, this paper also made corresponding policy recommendations.
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Baber, William R., and Sok-Hyon Kang. "The Impact of Split Adjusting and Rounding on Analysts' Forecast Error Calculations." Accounting Horizons 16, no. 4 (December 1, 2002): 277–89. http://dx.doi.org/10.2308/acch.2002.16.4.277.
Повний текст джерелаАнотація:
This study finds that analysts' forecast data files, commonly used by accountants and financial analysts to estimate market expectations about earnings announcements, contain inaccurate historical data for companies that split their common stock. These inaccuracies result because stock split adjustments are made retrospectively and split-adjusted data are rounded. Moreover, because well-performing firms are more likely to execute stock splits, the consequences of the stock split problem are systematic, potentially distorting both time-series and cross-sectional characteristics of forecast errors. The analysis also demonstrates that the problem can influence interpretations of security price reactions to earnings announcements. To illustrate this point, we report evidence suggesting that errors induced by rounding split-adjusted data alter conclusions about how investors interpret earnings that meet, but do not exceed, the consensus forecast.