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Frederick Douglas Foster

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Sviatoslav Rosov & F. Douglas Foster, 2014. "Measuring the information content of customer foreign exchange orders," Australian Journal of Management, Australian School of Business, vol. 39(2), pages 247-264, May.

    Cited by:

    1. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.

  2. Sviatoslav Rosov & F Douglas Foster, 2014. "Customer foreign exchange orders: When timing really does matter," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 351-368, August.

    Cited by:

    1. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2016. "Emerging trends in Asia-Pacific finance research: A review of recent influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 66-76.

  3. Zhe Chen & F Douglas Foster & David R Gallagher & Adrian D Lee, 2013. "Does portfolio emulation outperform its target funds?," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 401-427, August.

    Cited by:

    1. Zhe Chen & F. Douglas Foster & David R. Gallagher & Adrian D. Lee & Steven Cahan, 2015. "A model of emulation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(3), pages 717-748, September.
    2. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.

  4. Douglas Foster, F. & Gallagher, David R. & Looi, Adrian, 2011. "Institutional trading and share returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3383-3399.

    Cited by:

    1. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    2. Kingsley Fong & David R. Gallagher & Aaron Ng, 2005. "The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk," International Review of Finance, International Review of Finance Ltd., vol. 5(1‐2), pages 1-29, March.
    3. Pereira, João Pedro & Zhang, Harold H., 2010. "Stock Returns and the Volatility of Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(4), pages 1077-1110, August.
    4. Bing, Tao & Ma, Hongkun, 2021. "COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 384-396.
    5. Bradrania, Reza & Wu, Winston, 2023. "Foreign institutions, local investors and momentum trading," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 40-64.
    6. Frijns, Bart & Huynh, Thanh D. & Tourani-Rad, Alireza & Westerholm, P. Joakim, 2018. "Institutional trading and asset pricing," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 59-77.
    7. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    8. Janusz Brzeszczynski & Martin T. Bohl & Dobromił Serwa, 2012. "Large capital inflows and stock returns in a thin market," NBP Working Papers 120, Narodowy Bank Polski.
    9. Arnold, Lutz G. & Brunner, Stephan, 2015. "The economics of rational speculation in the presence of positive feedback trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 161-174.
    10. Clemens Sialm & Laura Starks, 2009. "Mutual Fund Tax Clienteles," NBER Working Papers 15327, National Bureau of Economic Research, Inc.
    11. Bruce J. Vanstone & Tom Smith & Tobias Hahn, 2017. "Australian momentum: performance, capacity and the GFC effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(1), pages 261-287, March.
    12. Lee, Bong Soo & Li, Wei & Wang, Steven Shuye, 2010. "The dynamics of individual and institutional trading on the Shanghai Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 18(1), pages 116-137, January.
    13. Brzeszczyński, Janusz & Bohl, Martin T. & Serwa, Dobromił, 2019. "Pension funds, large capital inflows and stock returns in a thin market," Journal of Pension Economics and Finance, Cambridge University Press, vol. 18(3), pages 347-387, July.
    14. Gallagher, David R. & Gardner, Peter & Swan, Peter L., 2009. "Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 1-27, January.
    15. Bao Doan & Huy Pham & Binh Nguyen Thanh, 2022. "Price discovery in the cryptocurrency market: evidence from institutional activity," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 49(1), pages 111-131, March.
    16. Koesrindartoto, Deddy P. & Aaron, Aurelius & Yusgiantoro, Inka & Dharma, Wirata A. & Arroisi, Abdurrohman, 2020. "Who moves the stock market in an emerging country – Institutional or retail investors?," Research in International Business and Finance, Elsevier, vol. 51(C).
    17. David R. Gallagher & Adrian Looi & Matt Pinnuck, 2010. "Are active fund managers collectors of private information or fast interpreters of public information?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 635-662, September.
    18. Choi, Nicole & Sias, Richard W., 2009. "Institutional industry herding," Journal of Financial Economics, Elsevier, vol. 94(3), pages 469-491, December.
    19. Angel Zhong, 2022. "Institutional trading in stock market anomalies in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 893-930, March.
    20. Scott Bennett & David R Gallagher & Graham Harman & Geoffrey J Warren & Lihui Xi, 2016. "Alpha generation in portfolio management: Long-run Australian equity fund evidence," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 107-140, February.

  5. F. Douglas Foster & Charles H. Whiteman, 2006. "Bayesian Prediction, Entropy, and Option Pricingx," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 181-205, December.

    Cited by:

    1. Leung, Melvern & Fung, Man Chung & O’Hare, Colin, 2018. "A comparative study of pricing approaches for longevity instruments," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 95-116.
    2. Jamie Alcock & Godfrey Smith, 2017. "Non-parametric American option valuation using Cressie–Read divergences," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 252-275, May.
    3. Kogure, Atsuyuki & Kurachi, Yoshiyuki, 2010. "A Bayesian approach to pricing longevity risk based on risk-neutral predictive distributions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 162-172, February.

  6. F. Douglas Foster & Charles H. Whiteman, 2002. "Bayesian Cross Hedging: An Example From the Soybean Market," Australian Journal of Management, Australian School of Business, vol. 27(2), pages 95-122, December.

    Cited by:

    1. Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
    2. Pannell, David J. & Hailu, Getu & Weersink, Alfons & Burt, Amanda, 2007. "More Reasons Why Farmers Have So Little Interest in Futures Markets," Working Papers 9232, University of Western Australia, School of Agricultural and Resource Economics.
    3. Stutzer, Michael, 2013. "Optimal hedging via large deviation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3177-3182.
    4. Chris Brooks & Ryan J. Davies & Sang Soo Kim, 2005. "Cross Hedging with Single Stock Futures," ICMA Centre Discussion Papers in Finance icma-dp2004-15, Henley Business School, University of Reading.
    5. Wei Shi & Scott H. Irwin, 2005. "Optimal Hedging with a Subjective View: An Empirical Bayesian Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 87(4), pages 918-930.
    6. Rozaimah Zainudin & Roselee Shah Shaharudin, 2011. "Multi Mean Garch Approach to Evaluating Hedging Performance in the Crude Palm Oil Futures Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 7(1), pages 111-130.

  7. F. Douglas Foster & Charles H. Whiteman, 1999. "An Application of Bayesian Option Pricing to the Soybean Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(3), pages 722-727.

    Cited by:

    1. Douglas MacKinnon & Martin Pavlovič, 2020. "A Bayesian analysis of hop price fluctuations," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 66(12), pages 519-526.
    2. Chalabi, Yohan & Wuertz, Diethelm, 2012. "Portfolio optimization based on divergence measures," MPRA Paper 43332, University Library of Munich, Germany.
    3. Johnny Siu‐Hang Li & Andrew Cheuk‐Yin Ng, 2011. "Canonical Valuation of Mortality‐Linked Securities," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(4), pages 853-884, December.
    4. Li, Johnny Siu-Hang, 2010. "Pricing longevity risk with the parametric bootstrap: A maximum entropy approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 176-186, October.
    5. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
    6. F. Douglas Foster & Charles H. Whiteman, 2006. "Bayesian Prediction, Entropy, and Option Pricingx," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 181-205, December.

  8. Foster, F Douglas & Smith, Tom & Whaley, Robert E, 1997. "Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R-Squared," Journal of Finance, American Finance Association, vol. 52(2), pages 591-607, June.

    Cited by:

    1. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
    2. Kam Fong Chan & John G. Powell & Jing Shi & Tom Smith, 2018. "Dividend persistence and dividend behaviour," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 127-147, March.
    3. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," The Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
    4. Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc.
    5. Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
    6. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1997. "Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure," Management Science, INFORMS, vol. 43(3), pages 371-385, March.
    7. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
    8. Hoang, Khoa & Cannavan, Damien & Gaunt, Clive & Huang, Ronghong, 2019. "Is that factor just lucky? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    9. Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
    10. Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Energy Economics, Elsevier, vol. 41(C), pages 137-146.
    11. Ahmed, Shamim & Bu, Ziwen & Symeonidis, Lazaros & Tsvetanov, Daniel, 2023. "Which factor model? A systematic return covariation perspective," Journal of International Money and Finance, Elsevier, vol. 136(C).
    12. John R. Graham & Campbell R. Harvey, 1994. "Market Timing Ability and Volatility Implied in Investment Newletters' Asset Allocation Recommendations," NBER Working Papers 4890, National Bureau of Economic Research, Inc.
    13. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    14. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Data snooping, technical trading, rule performance, and the bootstrap," LSE Research Online Documents on Economics 119144, London School of Economics and Political Science, LSE Library.
    15. Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
    16. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
    17. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
    18. John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 1-21, February.
    19. Makin, Anthony J. & Narayan, Paresh Kumar & Narayan, Seema, 2014. "What expenditure does Anglosphere foreign borrowing fund?," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 63-78.
    20. Leiva, Benjamin & Liu, Zhongyuan, 2019. "Energy and economic growth in the USA two decades later: Replication and reanalysis," Energy Economics, Elsevier, vol. 82(C), pages 89-99.
    21. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    22. Robert F. Whitelaw, 1997. "Time-Varying Sharpe Ratios and Market Timing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-074, New York University, Leonard N. Stern School of Business-.
    23. Campbell, John & Thompson, Samuel P., 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Scholarly Articles 2622619, Harvard University Department of Economics.
    24. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
    25. Erik Hillebrand & Tae-Hwy Lee & Marcelo Cunha Medeiros, 2012. "Let´s do it again: bagging equity premium predictors," Textos para discussão 604, Department of Economics PUC-Rio (Brazil).
    26. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
    27. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
    28. Jiali Fang & Ben Jacobsen & Yafeng Qin, 2014. "Predictability of the simple technical trading rules: An out‐of‐sample test," Review of Financial Economics, John Wiley & Sons, vol. 23(1), pages 30-45, January.
    29. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    30. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
    31. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
    32. Ayyagari, Meghana & Demirguc-Kunt, Asli & Maksimovic, Vojislav, 2006. "What determines protection of property rights ? An analysis of direct and indirect effects," Policy Research Working Paper Series 3940, The World Bank.
    33. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers 11021, National Bureau of Economic Research, Inc.
    34. Powell, John G. & Shi, Jing & Smith, Tom & Whaley, Robert E., 2009. "Political regimes, business cycles, seasonalities, and returns," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1112-1128, June.
    35. Nonejad, Nima, 2019. "Forecasting aggregate equity return volatility using crude oil price volatility: The role of nonlinearities and asymmetries," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    36. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, April.
    37. J. Guillermo Llorente & J. del Hoyo, 1999. "Specification Search and Stability Analysis," Computing in Economics and Finance 1999 642, Society for Computational Economics.
    38. Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    39. Eleswarapu, Venkat R. & Thompson, Rex, 2007. "Testing for negative expected market return premia," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1755-1770, June.
    40. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(3), pages 239-260, October.
    41. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
    42. Richard Heaney & F. Douglas Foster & Shirley Gregor & Terry O'Neill & Robert Wood, 2010. "Are two heads better than one? An experiment with novice share traders," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 119-142, August.
    43. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
    44. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-382.
    45. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
    46. Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    47. Harris, Richard D.F. & Shen, Jian & Yilmaz, Fatih, 2022. "Maximally predictable currency portfolios," Journal of International Money and Finance, Elsevier, vol. 128(C).
    48. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, vol. 51(10), pages 1582-1592, October.
    49. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
    50. Christoffersen, Peter F. & Diebold, Francis X., 2003. "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies (CFS).
    51. Nima Nonejad, 2021. "Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions," Empirical Economics, Springer, vol. 61(2), pages 973-1009, August.
    52. Robert Novy-Marx, 2012. "Pseudo-Predictability in Conditional Asset Pricing Tests: Explaining Anomaly Performance with Politics, the Weather, Global Warming, Sunspots, and the Stars," NBER Working Papers 18063, National Bureau of Economic Research, Inc.
    53. del Hoyo, J & Llorente, J Guillermo, 2001. "Asset Pricing Models, Specification Search, and Stability Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 17(2-3), pages 219-237, June.
    54. Afsaneh Bahrami & Abul Shamsuddin & Katherine Uylangco, 2018. "Out‐of‐sample stock return predictability in emerging markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 727-750, September.
    55. Dichtl, Hubert & Drobetz, Wolfgang & Neuhierl, Andreas & Wendt, Viktoria-Sophie, 2021. "Data snooping in equity premium prediction," International Journal of Forecasting, Elsevier, vol. 37(1), pages 72-94.
    56. Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.
    57. Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020. "Mining for Oil Forecasts," Research Working Paper RWP 20-20, Federal Reserve Bank of Kansas City.
    58. Cooper, Michael J. & Jackson, William III & Patterson, Gary A., 2003. "Evidence of predictability in the cross-section of bank stock returns," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 817-850, May.
    59. Jan R. Magnus & Dmitry Danilov, 2004. "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 251-274.
    60. Bartram, Söhnke M. & Grinblatt, Mark, 2018. "Agnostic fundamental analysis works," Journal of Financial Economics, Elsevier, vol. 128(1), pages 125-147.
    61. Nonejad, Nima, 2021. "Predicting the return on the spot price of crude oil out-of-sample by conditioning on news-based uncertainty measures: Some new empirical results," Energy Economics, Elsevier, vol. 104(C).
    62. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    63. Avramov, Doron & Chordia, Tarun, 2006. "Predicting stock returns," Journal of Financial Economics, Elsevier, vol. 82(2), pages 387-415, November.
    64. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
    65. Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021. "Predicting the Oil Market," NBER Working Papers 29379, National Bureau of Economic Research, Inc.
    66. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
    67. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
    68. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
    69. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," The Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-428.
    70. Yu, Ziliang & Liu, Xiaomeng & Liu, Zhuqing & Li, Yang, 2023. "Central bank swap arrangements and exchange rate volatility: Evidence from China," Emerging Markets Review, Elsevier, vol. 56(C).
    71. Jennifer K Gippel, 2013. "A revolution in finance?," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 125-146, April.
    72. Dan Kaczynski & Michelle Salmona & Tom Smith, 2014. "Qualitative research in finance," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 127-135, February.
    73. Wang Pu & Yixiang Chen & Feng Ma, 2016. "Forecasting the realized volatility in the Chinese stock market: further evidence," Applied Economics, Taylor & Francis Journals, vol. 48(33), pages 3116-3130, July.
    74. K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
    75. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    76. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
    77. Tae-Hwy Lee & Eric Hillebrand & Marcelo Medeiros, 2014. "Bagging Constrained Equity Premium Predictors," Working Papers 201421, University of California at Riverside, Department of Economics, revised Feb 2013.
    78. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.
    79. Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc.
    80. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
    81. Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
    82. Roskelley, Kenneth D., 2008. "Cromwell's Rule and the Role of the Prior in the Economic Metric: An Application to the Portfolio Allocation Problem," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 227-236, April.
    83. Nonejad, Nima, 2020. "An observation regarding Hamilton’s recent criticisms of Kilian’s global real economic activity index," Economics Letters, Elsevier, vol. 196(C).
    84. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
    85. Ma, Feng & Wei, Yu & Huang, Dengshi & Chen, Yixiang, 2014. "Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 171-180.
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    1. Huang, Roger D. & Masulis, Ronald W., 2003. "Trading activity and stock price volatility: evidence from the London Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 249-269, May.
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    6. Peter Chen & Kasing Man & Chunchi Wu, 2003. "The Information Content in Trades of Inactive Nasdaq Stocks," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 8(2), pages 25-53, Summer.
    7. Francisco Peñaranda & Jón Daníelsson, 2007. "On the impact of fundamentals, liquidity and coordination on market stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2010.
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    43. Strohsal, Till & Weber, Enzo, 2013. "Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79903, Verein für Socialpolitik / German Economic Association.
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  11. Foster, F. Douglas & Viswanathan, S., 1994. "Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(4), pages 499-518, December.

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    1. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
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    8. Qin Lei & Xuewu Wang, 2014. "Time†Varying Liquidity Trading, Private Information and Insider Trading," European Financial Management, European Financial Management Association, vol. 20(2), pages 321-351, March.
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    44. Hautsch, Nikolaus & Pohlmeier, Winfried, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Papers 01/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
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