Browsing Faculty of Business by Subject "Market efficiency"
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Big data–enabled sign prediction for Borsa Istanbul intraday equity prices
(Elsevier, 2023-12)This paper employs a big data source, the Borsa Istanbul's “data analytics” information, to predict 5-min up, down, and steady signs drawn from closing price changes. Seven machine learning algorithms are compared with ... -
Cash flow news, discount rate news, and momentum
(Elsevier, 2016-11)We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment ...
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