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Recent The Journal of Finance and Data Science Articles

Recently published articles from The Journal of Finance and Data Science.

Negative conversion premium

November 2021
Zhijian (James) Huang | Li Xu

We document frequent occurrences of negative conversion premium (NCP) events in the Chinese convertible bond market, when the bond is convertible and the underlying stock can be freely sold. This implies...

Pairwise acquisition prediction with SHAP value interpretation

November 2021
Katsuya Futagami | Yusuke Fukazawa | Nakul Kapoor | Tomomi Kito

Predicting future pairs of the acquirer and acquiree companies is important for acquisition or investment strategy. This prediction is a challenging problem due to the following requirements: to incorporate...

How does the creditor conflict affect bond IPO underpricing?

Available online 31 March 2021
Susheng Wang | Xinjie Wang | Yuan Wang | Xueying Zhang

In this paper, we find that the conflict of interest between loan holders and bondholders is positively related to bond IPO underpricing, which serves as a compensation to the initial bond investors....

Short-Term Bitcoin Market Prediction via Machine Learning

Available online 18 March 2021
Patrick Jaquart | David Dann | Christof Weinhardt

We analyze the predictability of the bitcoin market across prediction horizons ranging from 1 to 60 minutes. In doing so, we test various machine learning models and find that, while all models outperform...

Rollover risk and credit spreads in the financial crisis of 2008

November 2020
Grace Xing Hu

This paper investigates the asset pricing implications of rollover risk, i.e., the risk that firms might not be able to refinance their due liabilities. I find that firm-specific rollover risk coupled...

Deep deterministic portfolio optimization

November 2020
Ayman Chaouki | Stephen Hardiman | Christian Schmidt | Emmanuel Sérié | Joachim de Lataillade

Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically...

Fuel up with OATmeals! The case of the French nominal yield curve

November 2020
Olesya V. Grishchenko | Franck Moraux | Olga Pakulyak

We construct the French nominal yield curve using Svensson33 methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample...

Should asset managers pay for economic research? A machine learning evaluation

November 2020
Krzysztof Rybinski

This paper presents the first-ever comparison of the forecasting power of two types of narratives: articles in a major daily newspaper and regular research reports released by professional forecasters....

Forecasting multinomial stock returns using machine learning methods

November 2020
Lauri Nevasalmi

In this paper, the daily returns of the S&P 500 stock market index are predicted using a variety of different machine learning methods. We propose a new multinomial classification approach to forecasting...

Detection of rare events: A machine learning toolkit with an application to banking crises

December 2019
Jérôme Coffinet | Jean-Noël Kien

We propose a machine learning toolkit applied to the detection of rare events, namely banking crises. For this purpose, we consider a broad set of macroeconomic series (credit-to-GDP gap, house prices,...

Quadratic hedging strategies for private equity fund payment streams

September 2019
Christian Tausch

To better understand the relation between public markets and private equity, we consider quadratic hedging strategies to replicate the typical payment stream pattern associated with private equity funds...

Predicting bitcoin returns using high-dimensional technical indicators

September 2019
Jing-Zhi Huang | William Huang | Jun Ni

There has been much debate about whether returns on financial assets, such as stock returns or commodity returns, are predictable; however, few studies have investigated cryptocurrency return predictability....

Efficiency and technology gaps in Indian banking sector: Application of meta-frontier directional distance function DEA approach

September 2019
Jatin Goyal | Manjit Singh | Rajdeep Singh | Arun Aggarwal

Government of India aims at making the Indian Banks internationally competitive. In the wake of intense competition and changing global and national business environment, the efficiency issues have...

Volatility transmission in the Nigerian financial market

June 2019
Ismail O. Fasanya | Mary A. Akinde

This paper examines the return and volatility spillovers in the Nigerian Financial market. We specifically analyse the spillovers in the capital market, money market and foreign exchange market utilizing...

Can artificial intelligence enhance the Bitcoin bonanza

June 2019
Matheus José Silva de Souza | Fahad W. Almudhaf | Bruno Miranda Henrique | Ana Beatriz Silveira Negredo | Danilo Guimarães Franco Ramos | Vinicius Amorim Sobreiro | Herbert Kimura

This paper aims to investigate how Machine Learning (ML) techniques perform in the prediction of cryptocurrency prices. We answer if Support Vector Machines (SVM) and Artificial Neural Networks (ANN)...

COSMOS trader – Chaotic Neuro-oscillatory multiagent financial prediction and trading system

June 2019
Raymond S.T. Lee

Over the years, financial engineering ranging from the study of financial signals to the modelling of financial prediction is one of the most stimulating topics for both academia and financial community....

An empirical study of the self-fulfilling prophecy effect in Chinese stock market

June 2019
Yun Wan | Xiaoguang Yang

We analyzed data collected from retail investors in the Chinese stock market from a Fintech mobile platform to find evidence of the self-fulfilling prophecy effect. We found a statistically significant...

Testing market response to auditor change filings: A comparison of machine learning classifiers

March 2019
Richard Holowczak | David Louton | Hakan Saraoglu

The use of textual information contained in company filings with the Securities Exchange Commission (SEC), including annual reports on Form 10-K, quarterly reports on Form 10-Q, and current reports...

The value of publicly available predicted earnings surprises

March 2019
Samuel J. Frame | Robin Tu | Jessica M. Martin | Justin M. Berding

This paper demonstrates how to collect and manage free predicted earnings surprises available in the public domain. The predicted earnings surprises we collect are expected to be more accurate than...

Improving trading technical analysis with TensorFlow Long Short-Term Memory (LSTM) Neural Network

March 2019
Chenjie Sang | Massimo Di Pierro

In this paper we utilize a Long Short-Term Memory Neural Network to learn from and improve upon traditional trading algorithms used in technical analysis. The rationale behind our study is that the...

An ability to forecast market liquidity – Evidence from South East Asia Mutual fund industry

March 2019
Woraphon Wattanatorn | Pimpika Tansupswatdikul

In this study, a liquidity timing ability of mutual fund managers in emerging markets had been examined. The analysis based on three important emerging markets in ASEAN Economic Community, namely Indonesia,...

Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index

March 2019
Usman M. Umer | Tuba Sevil | Güven Sevil

Travel and leisure market records a consecutive robust growth and become among the fastest economic sectors. Numerous studies proposed distinct forecasting models to predict the dynamics of this sector...

Does public expenditure on education promote Tunisian and Moroccan GDP per capita? ARDL approach

December 2018
Adel Ifa | Imène Guetat

This paper aims to analyze the impact of public education expenditures on GDP per capita of Tunisia and Morocco during the period 1980–2015. This study is based on the Auto-Regressive Distributive Lags...

Index option returns and systemic equity risk

December 2018
Weiping Li | Tim Krehbiel

In an environment characterized by stochastic variances and correlations, we demonstrate through construction of the equilibrium index option value from constituent components, that the generalized...

Effect of daily dividend on arithmetic and logarithmic return

December 2018
Md. Noman Siddikee

I have extended the arithmetic and logarithmic equations of the daily return by including daily dividend. To do this, firstly, I have mathematically broadened the scope of the two mostly used formulas...

Return smoothing and its implications for performance analysis of hedge funds

December 2018
Jing-zhi Huang | John Liechty | Marco Rossi

Return smoothing and performance persistence are both sources of autocorrelation in hedge fund returns. The practice of pre-processing the data in order to remove smoothing before conducting performance...

An equity fund recommendation system by combing transfer learning and the utility function of the prospect theory

December 2018
Li Zhang | Han Zhang | SuMin Hao

Investors in financial markets are often at a loss when facing a huge range of products. For financial institutions also, how to recommend products to the right investors, especially those without previous...

Estimation of market immediacy by Coefficient of Elasticity of Trading three approach

September 2018
Richard Wamalwa Wanzala

This paper promulgates an innovative measure of market immediacy; that is, Coefficient of Elasticity Trading Three (CET3). The data from Nairobi Securities Exchange has been used to estimate market...

Improved parameter estimation of Time Dependent Kernel Density by using Artificial Neural Networks

September 2018
Xing Wang | Chris P. Tsokos | Abolfazl Saghafi

Time Dependent Kernel Density Estimation (TDKDE) used in modelling time-varying phenomenon requires two input parameters known as bandwidth and discount to perform. A Maximum Likelihood Estimation (MLE)...

Regulatory learning: How to supervise machine learning models? An application to credit scoring

September 2018
Dominique Guégan | Bertrand Hassani

The arrival of Big Data strategies is threatening the latest trends in financial regulation related to the simplification of models and the enhancement of the comparability of approaches chosen by financial...

Stock price prediction using support vector regression on daily and up to the minute prices

September 2018
Bruno Miranda Henrique | Vinicius Amorim Sobreiro | Herbert Kimura

The purpose of predictive stock price systems is to provide abnormal returns for financial market operators and serve as a basis for risk management tools. Although the Efficient Market Hypothesis (EMH)...

On the design of financial products along OBOR

June 2018
Weiping Li | Daxiang Jin

We propose a design of fundamental indexes of equity and bond for the One Belt One Road (OBOR) to increase the market effect, instead of only using the OBOR construction investment funds to initiate...

Twitter as a tool for forecasting stock market movements: A short-window event study

June 2018
Tahir M. Nisar | Man Yeung

In order to explore the relationship between politics-related sentiment and FTSE 100 movements, we conducted a short-window event study of a UK based political event. We collected a sample of over 60,000...

Selecting appropriate methodological framework for time series data analysis

June 2018
Min B. Shrestha | Guna R. Bhatta

Economists face method selection problem while working with time series data. As time series data may possess specific properties such as trend and structural break, common methods used to analyze other...

Forecasting performance of smooth transition autoregressive (STAR) model on travel and leisure stock index

June 2018
Usman M. Umer | Tuba Sevil | Güven Sevil

Travel and leisure recorded a consecutive robust growth and become among the fastest economic sectors in the world. Various forecasting models are proposed by researchers that serve as an early recommendation...

Financial news predicts stock market volatility better than close price

June 2018
Adam Atkins | Mahesan Niranjan | Enrico Gerding

The behaviour of time series data from financial markets is influenced by a rich mixture of quantitative information from the dynamics of the system, captured in its past behaviour, and qualitative...

The effects of mergers and acquisitions on stock price behavior in banking sector of Pakistan

March 2018
Zahoor Rahman | Arshad Ali | Khalil Jebran

Mergers and Acquisitions are considered as one of the useful strategies for growth and expansion of businesses. These strategies have widely been adopted in developed economies while are quite often...

Stock repurchase and Arab Spring empirical evidence from the MENA region

March 2018
Foued Hamouda

This paper examines how repurchase programs are used in the MENA region in the context of the political instability associated with the Arab Spring. We extend the knowledge regarding the relationship...

Market resiliency conundrum: is it a predicator of economic growth?

March 2018
Richard Wamalwa Wanzala | Willy Muturi | Tobias Olweny

Resiliency provides fundamental insights on the speed at which the marginal price impact increases as transaction volume increases in the stock market yet very few empirical research has been dedicated...

Participation against competition in banking markets based on cooperative game theory

March 2018
Rahim Khanizad | Gholamali Montazer

The issue of increasing profit and reducing operational costs is the most important subject in banking management. One of the ways to solve this problem, is the cooperation (coalition) of banks together...

The extent of voluntary disclosure and its determinants in emerging markets: Evidence from Egypt

Mostafa I. Elfeky

The primary objective of this study is to test a theoretical framework relating eight major corporate governance determinants with the extent of the voluntary disclosure provided by listed firms listed...

Research on impact factors for online donation behavior of bank customer

Qing Li

Donation in various service channels of financial institutions helps people in need and makes great impact on social charity. The purpose of this paper is to analyze impact factors of donation behavior...

High-frequency volatility combine forecast evaluations: An empirical study for DAX

Wen Cheong Chin | Min Cherng Lee

This study aims to examine the benefits of combining realized volatility, higher power variation volatility and nearest neighbour truncation volatility in the forecasts of financial stock market of...

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