Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan
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DOI: 10.1002/fut.21910
Abstract: We compare and contrast the clientele effect, information content and the buy†and†hold returns of options with weekly and monthly expiration periods (Weeklys and Monthlys) traded on the Taiwan Stock Exchange Capitalization†weighted Stock… read more here.
Keywords: effect; clientele effect; effect information; information content ... See more keywords
Leading indicators of non-performing loans in Greece: the information content of macro-, micro- and bank-specific variables
Sign Up to like & getrecommendations! Published in 2018 at "Empirical Economics"
DOI: 10.1007/s00181-017-1247-0
Abstract: We examine the information content of a unique set of macroeconomic, bank-specific, market and credit registry variables as regards their ability to forecast non-performing loans using a panel data set of nine Greek banks. We… read more here.
Keywords: specific variables; non performing; performing loans; bank specific ... See more keywords
Entropy and Information Content of Geostatistical Models
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DOI: 10.1007/s11004-020-09876-z
Abstract: Geostatistical models quantify spatial relations between model parameters and can be used to estimate and simulate properties away from known observations. The underlying statistical model, quantified through a joint probability density, most often consists of… read more here.
Keywords: information; probability; geostatistical models; model ... See more keywords
Public information content and market information efficiency: A comparison between China and the U.S.
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DOI: 10.1016/j.chieco.2020.101405
Abstract: Abstract Based on the concept that the presence of public information shocks can increase the synchronicity of stock returns, we develop an extended version of the mixture of distribution hypothesis model (MDH) along the lines… read more here.
Keywords: information; public information; market; efficiency ... See more keywords
The Information Content of Employee Awards
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DOI: 10.1016/j.econedurev.2021.102154
Abstract: Abstract Employers often provide awards to employees to induce greater effort. Although a merit award system may increase effort and productivity, it may also produce unintended consequences if it provides new information to the labor… read more here.
Keywords: school; employee awards; information content; award ... See more keywords
Reputational Shocks and the Information Content of Credit Ratings
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DOI: 10.1016/j.jfs.2017.12.003
Abstract: We investigate how shocks to the reputation of credit rating agencies and the subsequent introduction of stricter regulation affect investors’ reaction to rating signals. We focus on three major episodes of reputational distress: the Enron/WorldCom… read more here.
Keywords: credit; shocks information; reputational shocks; information content ... See more keywords
Cloud information content in EPIC/DSCOVR’s oxygen A- and B-band channels: A physics-based approach
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Quantitative Spectroscopy and Radiative Transfer"
DOI: 10.1016/j.jqsrt.2018.09.006
Abstract: Abstract In a companion paper [Davis et al., JQSRT 216, 6–16 (2018)], we used a numerical 1D radiative transfer (RT) model and the statistical formalism of optimal estimation to quantify cloud information content in the O2… read more here.
Keywords: cloud information; band channels; physics; cloud ... See more keywords
Audit quality during the global financial crisis : The investors’ perspective
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DOI: 10.1016/j.ribaf.2017.07.137
Abstract: In response to the concerns raised by the financial media and regulators about the audit quality around the recent global financial crisis (GFC), this study examines whether investors also perceived the audit quality to have… read more here.
Keywords: audit; audit quality; information content; content earnings ... See more keywords
Hierarchical Materials from High Information Content Macromolecular Building Blocks: Construction, Dynamic Interventions, and Prediction.
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DOI: 10.1021/acs.chemrev.2c00220
Abstract: Hierarchical materials that exhibit order over multiple length scales are ubiquitous in nature. Because hierarchy gives rise to unique properties and functions, many have sought inspiration from nature when designing and fabricating hierarchical matter. More… read more here.
Keywords: information; hierarchical materials; high information; building blocks ... See more keywords
On the interpretability of predictors in spatial data science: the information horizon
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DOI: 10.1038/s41598-020-73773-y
Abstract: Two important theories in spatial modelling relate to structural and spatial dependence. Structural dependence refers to environmental state-factor models, where an environmental property is modelled as a function of the states and interactions of environmental… read more here.
Keywords: information; information horizon; predictors spatial; information content ... See more keywords
Information content of right option tails: Evidence from S&P 500 index options
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DOI: 10.1057/s41260-017-0049-4
Abstract: In this study, we investigate how useful the information content of out-of-the-money S&P 500 index call options is to predict the size and direction of the underlying index for the period 2004–2013. First, we demonstrate… read more here.
Keywords: index; information; option; 500 index ... See more keywords