Pierre Giot
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View article: On the statistical and economic performance of stock return predictive regression models: an international perspective
On the statistical and economic performance of stock return predictive regression models: an international perspective Open
The predictability of stock returns is assessed in 10 countries using the linear predictive regression framework. We use recently developed out-of-sample statistical tests and include both valuation ratios and interest rates as predictive …
View article: Short-term market timing using the bond–equity yield ratio
Short-term market timing using the bond–equity yield ratio Open
This paper takes a new look at the market timing ability of the Bond-Equity Yield Ratio\n(BEYR). We compare the short-term profitability of a naive strategy based on the extreme\nvalues of the BEYR to the short-term profitability of a soph…
View article: Market-wide liquidity co-movements, volatility regimes and market cap sizes
Market-wide liquidity co-movements, volatility regimes and market cap sizes Open
Liquidity co-movements are studied within three different market capitalization indices, each made up of 100 NYSE stocks. Long-run liquidity co-movements are quantified in each class and compared to short-run liquidity co-movements. To con…
View article: International stock return predictability: statistical evidence and economic significance
International stock return predictability: statistical evidence and economic significance Open
The predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics. Predictive variables include both valuation ratios and interest rate variabl…
View article: The information content of the Bond-Equity Yield Ratio: better than a random walk?
The information content of the Bond-Equity Yield Ratio: better than a random walk? Open
Since the 1990's run up in stock prices and subsequent crashes, the financial community has taken a dim view of the traditional valuation ratios and has instead turned its attention to a new valuation ratio: the Bond-Equity Yield Ratio (BE…
View article: A Comparison of Financial Duration Models via Density Forecast
A Comparison of Financial Duration Models via Density Forecast Open
Using density forecast evaluation techniques we compare the predictive performance of econometric specifications that have been developed for modeling duration processes in intra-day financial markets. The model portfolio encompasses vario…
View article: Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model
Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model Open
This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process …
View article: Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio
Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio Open
We put forward the Bond-Equity Yield Ratio (BEYR) as a criterium to dynamically allocate capital between equities and bonds on a short-term basis. Relying upon 30 years of monthly data for a large collection of countries, we use the cointe…
View article: IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis Open
Using a detailed sample made up of more than 20,000 investment rounds, we analyze the time to ‘IPO’, ‘trade sale ’ and ‘liquidation ’ for about 6,000 venture backed firms. We model these exit times using competing risks models. Biotech and…
View article: Volatility regimes and the provision of liquidity in order book markets
Volatility regimes and the provision of liquidity in order book markets Open
We analyze whether the liquidity provision in a pure order book market during normal market conditions (low volatility regime) differs from what is observed when the market is under stress (high volatility regime). We show that the static …
View article: The Asian financial crisis : the start of a regime switch in volatility
The Asian financial crisis : the start of a regime switch in volatility Open
Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of the U.S. S&P100 index and German DAX index switched from a low-value state to a high-value state around the events of the…
View article: The information content of implied volatility indexes for forecasting volatility and market risk
The information content of implied volatility indexes for forecasting volatility and market risk Open
In this paper, we assess the efficiency, information content and unbiasedness of volatility forecasts based on the VIX/VXN implied volatility indexes, RiskMetrics and GARCHtype models at the 5-, 10- and 22-day time horizon. Our empirical a…
View article: The information content of implied volatility in agricultural commodity markets
The information content of implied volatility in agricultural commodity markets Open
In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the re…