1,720,979 research outputs found
Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach
Full text linkWe use factor augmented predictive regressions to investigate the relationship between excess bond returns and the macro economy. Our application is for the case of United Kingdom. The dimension of the large data set with 127 variables is reduced by the method of principal components and the Onatski (2009) procedure is used to determine the number factors. Our data covers the period 1983:09 - 2006:10. We find that variation in the one year ahead excess returns on 2 to 5-year UK government bonds can be modeled by macroeconomic fundamentals with R-square values varying from 34 percent to 44 percent. Specifically, three macro factors "unemployment" factor, "inflation" factor and "stock market" factor have significant predictive power in explaining the variation in the excess bond returns. Our results provide new evidence against the expectations hypothesis for the case of UK. We contribute to the literature by analyzing the direct link between macroeconomic variables and excess bond returns for a European market rather than the US. Unpredictability of excess bond returns is not the case in the UK either.Principal Components Analysis (PCA); Expectations Hypothesis; Excess Bond Returns; Factor Models.
Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach
Full text linkWe use factor augmented predictive regressions to investigate the relationship between excess bond returns and the macro economy. Our application is for the case of United Kingdom. The dimension of the large data set with 127 variables is reduced by the method of principal components and the Onatski (2009) procedure is used to determine the number factors. Our data covers the period 1983:09 - 2006:10. We find that variation in the one year ahead excess returns on 2 to 5-year UK government bonds can be modeled by macroeconomic fundamentals with R-square values varying from 34 percent to 44 percent. Specifically, three macro factors "unemployment" factor, "inflation" factor and "stock market" factor have significant predictive
power in explaining the variation in the excess bond returns. Our results provide new evidence against the expectations hypothesis for the case of UK. We contribute to the literature by analyzing the direct link between macroeconomic variables and excess bond returns for a
European market rather than the US. Unpredictability of excess bond returns is not the case in the UK either
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
A new Test of Uncovered Interest Rate Parity: Evidence from Turkey
Full text linkThis paper examines if uncovered interest rate parity condition holds for Turkey. In this paper, an empirical analysis is provided for the dates between December 2001 and June 2007 by using monthly data for Turkey and the U.S. Main finding is that UIP does not hold for Turkey. In addition to this, UIP deviation goes up over time, AR (1) fits the data well, there is an ARCH effect and GARCH (1,1) specification is significant for Turkish case
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Essentials of Financial Data Analytics and Visualization with Python and Generative AI
No full textThe Case Centre, case study 125-0075-1, teaching note 125-0075-8, teaching note supplement 125-0075-8BThe Case Centre, case study 125-0075-1, teaching note 125-0075-8, teaching note supplement 125-0075-8BThis case places learners in a fast-paced, real-world role-play scenario where they are urgently contacted to prepare a financial data analytics and visualization workshop using Python and generative AI assistance. The objective is to develop comprehensive and visually engaging financial analysis under tight time constraints. Unlike traditional case studies, this case explicitly integrates AI-supported workflows as a core competency, enabling learners to leverage large language models to accelerate Python coding, visualization, and statistical analysis. The role-play is activated through an email sent by a senior manager (the instructor) that outlines detailed tasks for workshop preparation. The case is designed for individual work but encourages students to consult open-access sources and interact with AI tools to facilitate their problem-solving process. Instructors provide on-demand feedback and support as students make progress through the tasks. This dynamic learning experience fosters technical autonomy, critical thinking, and the ability to navigate Python environments efficiently with AI assistance while developing essential skills in financial data storytelling and time-sensitive project delivery
Long-term asset allocation, risk tolerance and market sentiment
No full textInternational audienceThis paper studies optimal equity portfolios with long-term horizon under heterogeneous risk aversion levels. We focus on European stocks and empirically show that contemporaneous excess returns of semi-active strategies are negatively associated with market conditions and sentiment. Consistent with our long-horizon perspective, we find that the effects of sentiment measures on semi-active portfolio returns are sizeable and economically relevant, particularly in bull (post-crisis) periods, even after controlling for the five Fama-French factors, momentum, macro indicators and political uncertainty shocks either globally or country-wise. By contrast, the effects of sentiment measures on the passive (benchmark) portfolio appear to be negligible. The results further indicate that realized portfolio returns generated from our long-term strategies are considerably resilient to the episodes of flight-to-safety (risk-off) regimes
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