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Mid-cap companies, generally valued between \$2 billion and \$10 billion, provide investors with a well-rounded opportunity between the fluctuation of small-cap stocks and the stability of large-cap stocks. This research builds upon the…
Determination of the correct mix of dividend and retained earnings and its effect on profitability has been a subject of controversy in financial management literature. This paper seeks to contribute to the ongoing debate by examining the…
Predictive model design for accurately predicting future stock prices has always been considered an interesting and challenging research problem. The task becomes complex due to the volatile and stochastic nature of the stock prices in the…
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show that, to the contrary, future intra-day stock prices could be…
We compare traditional approach of computing logarithmic returns with the fractional differencing method and its tempered extension as methods of data preparation before their usage in advanced machine learning models. Differencing…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
In the practical business of asset management by investment trusts and the like, the general practice is to manage over the medium to long term owing to the burden of operations and increase in transaction costs with the increase in…
The objective of this study is to examine empirically the impact of good corporate governance on financial performance of United Kingdom non-financial listed firms. Agency theory and stewardship theory serve as the bases of a conceptual…
This paper investigates cash productivity as a signal for future stock performance, building on the cash-return framework of Faulkender and Wang (2006). Using financial and market data from WRDS, we calculate cash returns as a proxy for…
Share valuations are known to adjust to new information entering the market, such as regulatory disclosures. We study whether the language of such news items can improve short-term and especially long-term (24 months) forecasts of stock…
Our research aims to find the best model that uses companies projections and sector performances and how the given company fares accordingly to correctly predict equity share prices for both short and long term goals.
Efficiency has been a pivotal aspect of the software industry since its inception, as a system that serves the end-user fast, and the service provider cost-efficiently benefits all parties. A database management system (DBMS) is an integral…
Although companies are exhorted to provide more information to the financial community, it is evident that they choose different paths based upon their strategic emphasis and competitive environments. Our investigation explores the…
On a periodic basis, publicly traded companies report fundamentals, financial data including revenue, earnings, debt, among others. Quantitative finance research has identified several factors, functions of the reported data that…
We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the…
Many public organisations procure a substantial amount of goods and services from in-house companies. When providing their goods and services, those companies are supposed to fulfil objectives set for them and for the wider entity,…
We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explaining price fluctuations for time scales ranging from 5 minutes…
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available information ignored by the market to…