This paper examines the consequences for the term structure of stock market risk of the significance of demographics in capturing the time varying mean of the dividend-price ratio and in predicting stock market returns. A potential role for demographic variables has never been considered in the ongoing debate on the slope of the term structure of stock market risk. Intuitive reasoning, formal m...

Within the stock markets, the trading volumes and the asset prices are considered to be highly changeable and unpredictable. However, effective forecasting of the way how they will change guarantees constructive advice for financial practitioners. There are various factors that may have an impact on the movements, one of which is the financial information. On the other hand, financial volatilit...

investing in stock markets usually is involved in more risks than the bounds and bank deposits. it is expected that resulting returns (capital gain plus yields) from trading in a stock market to be more than those of in a risk free investment. therefore, developing accurate techniques of estimation and forecasting in volatility analysis of financial markets is inevitable. sum squares of weekly ...

Predicting stock price movements is a challenging task for academicians and practitioners. In particular, forecasting price movements in emerging markets seems to be more elusive because they are usually more volatile often accompanied by thin trading-volumes and they are susceptible to more manipulation compared to mature markets. Technical analysis of stocks and commodities has become a scien...

This study attempts to discover and evaluate the predictive power of stock micro blog sentiment on future stock price directional movements. We construct a set of robust models based on sentiment analysis and data mining algorithms. Using 72,221 micro blog postings for 1909 stock tickers and 3874 distinct authors, our study reveals not only that stock micro blog sentiments do have predictive po...

The interacting impact between the crude oil prices and the stock market indices in China is investigated in the present paper, and the corresponding statistical behaviors are also analyzed. The database is based on the crude oil prices of Daqing and Shengli in the 7-year period from January 2003 to December 2009 and also on the indices of SHCI, SZCI, SZPI, and SINOPEC with the same time period...

This paper addresses about an approach that suggests for stock portfolio optimization using the combination of Adaptive Neuro-Fuzzy Inference System (ANFIS) and Capital Asset Pricing Model (CAPM). Stock portfolio optimization aims to determine which of the stocks to be added to a portfolio based on the investor’s needs, changing economic and market conditions. In order to construct an efficient...

The stock market domain is a dynamic and unpredictable environment. Traditional techniques, such as fundamental and technical analysis can provide investors with some tools for managing their stocks and predicting their prices. However, these techniques cannot discover all the possible relations between stocks and thus there is a need for a different approach that will provide a deeper kind of ...

Predictability of the return on the market portfolio is a well established fact. This study shows that predictability is a more general phenomenon and it extends to return indices of the U.S. states. At the state level, the consumption trend deviation of Lettau and Ludvigson, and the collateral ratio of Lustig and Van Nieuwerburgh can predict short-term and long-term state-level returns. The st...