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Full-Text Articles in Finance and Financial Management
Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath
Financial News And Cds Spreads, Paresh Kumar Narayan, Deepa Bannigidadmath
Research outputs 2014 to 2021
© 2020 Elsevier B.V. This paper examines whether financial news moves CDS spreads for a large number of U.S. stocks sorted into 19 panels consisting of sectors, sizes and credit quality. Using a unique financial news data set, we discover that while both positive and negative news predicts CDS spread changes in most of the panels, annualised mean–variance profits and utility gains are dominated by forecasting models that use positive news as a predictor. At best, risk factors only account for around 31% of observed profits.
Consumer Sentiment And Indonesia’S Stock Returns, Deepa Bannigidadmath
Consumer Sentiment And Indonesia’S Stock Returns, Deepa Bannigidadmath
Research outputs 2014 to 2021
© Buletin Ekonomi Moneter dan Perbankan 2020. All Rights Reserved. This paper examines whether consumer sentiment predicts the excess returns of the aggregate market and nine industries from the Indonesia equity market. We discover evidence of predictability for three industries; however, the magnitude of predictability are heterogeneous. Some sectors are predictable during expansions, whereas others are only predictable during recessions. There is no evidence of the reversal of the impact of consumer sentiment on stock returns. We conduct several robustness tests that include (i) estimating a predictive regression model with a feasible quasi-generalized least squares–based estimator and (ii) accounting for …