Zobrazeno 1 - 10
of 38
pro vyhledávání: '"Harry Mamaysky"'
Autor:
Paul Glasserman, Harry Mamaysky
Publikováno v:
The Review of Asset Pricing Studies. 13:1-52
We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80e0b69b63d557250b6dbd7ac2bf2b2b
https://doi.org/10.1093/rapstu/raac009
https://doi.org/10.1093/rapstu/raac009
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c3d2a62e8898a5cd6df5eb8ebc765fc
https://doi.org/10.2139/ssrn.4138454
https://doi.org/10.2139/ssrn.4138454
We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After control
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e5d61b2057beba8234631794e293b4ff
https://doi.org/10.3386/w29379
https://doi.org/10.3386/w29379
Autor:
Paul Glasserman, Harry Mamaysky
Publikováno v:
Journal of Financial and Quantitative Analysis. 54:1937-1974
An increase in “unusual” news with negative sentiment predicts an increase in stock market volatility. Unusual positive news forecasts lower volatility. Our analysis is based on over 360,000 articles on 50 large financial companies, published dur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9470ada196352f09ea1beb5dfa0e3f6
https://doi.org/10.1017/s0022109019000127
https://doi.org/10.1017/s0022109019000127
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8d8a7be0a2a147bbd77a4ffc2fc5e79a
https://doi.org/10.2139/ssrn.3944427
https://doi.org/10.2139/ssrn.3944427
Publikováno v:
The Federal Reserve Bank of Kansas City Research Working Papers.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::03b6cd448bdc3cf618347ecf59b426cb
https://doi.org/10.18651/rwp2020-20
https://doi.org/10.18651/rwp2020-20
We derive a measure of firm-level regulatory costs from the text of corporate earnings calls. We then use this measure to study the effect of regulation on companies’ operating fundamentals and cost of capital. We find that higher regulatory cost r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7b865bc8a341b05e49f91756cc3964c5
https://doi.org/10.3386/w26856
https://doi.org/10.3386/w26856
Autor:
Harry Mamaysky
Publikováno v:
SSRN Electronic Journal.
The initial phase of the COVID-19 pandemic was characterized by voluminous, highly negative news coverage. Markets overreacted to uninformative news, and reacted more to news during high volatility periods. News coverage responded to lagged market ac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::918bed7de102684656ecc8325a30ee96
https://doi.org/10.2139/ssrn.3565597
https://doi.org/10.2139/ssrn.3565597
Publikováno v:
SSRN Electronic Journal.
This Online Appendix contains details on our futures return calculation as well as additional appendix figures and tables referred to in the main body of the paper.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::90a5dc4c3df2865602e8268e9f324872
https://doi.org/10.2139/ssrn.3755496
https://doi.org/10.2139/ssrn.3755496