Market Efficiency, Predictions and Returns

Abstract

The most part of the financial literature agree that the information contained in different financial variables is related somehow to the stock market indexes. Some theories state that the stock market index predicts the future performance of the economy, whereas others sustain that it is linked to the release of new information or it has a lagged reaction to it. This paper investigates the relation between a Romanian stock market index and some (especially macroeconomic) variables in the period between February 2002 to December 2013, considering for possible contemporaneous, lagged and anticipated relations. The results suggest that the variation of the index is mostly associated with the synchronous levels of the indicators. Moreover, stock market index return is better explained by the future levels than the ones for the past levels of indicators.

An OLS and GMM Combined Algorithm for Text Analysis for Heterogeneous Impact in Online Health Communities

“…UGC has significant impacts on user evaluations of products or services [12]. Both qualitative and quantitative dimensions of UGC substantially affect product sales [3,11], and enterprise online market performance [13,14].…”