Publications

This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of ...

We apply the bipower variation technique to characterize the jump dynamics in the HUF/EUR market. We then examine the link between jumps and news announcements of various sorts. Our findings confirm that jumps are prevalent, large and account for approximately one-half of the total volatility during the jump days. More importantly, we find that nearly half of the significant jumps are explained by scheduled and unscheduled news releases, ...

We study intraday jumps on a pure limit order FX market by linking them to news announcements and liquidity shocks. First, we show that jumps are frequent and contribute greatly to the return volatility. Nearly half of the jumps can be linked with scheduled and unscheduled news announcements. Furthermore, we show that jumps are information based, whether they are linked with news announcements or not. Prior to jumps, liquidity does not deviate ...

In this work the news-induced and liquidity-induced jumps in the HUF/EUR market are disentangled. Also, their respective impact on the total price variation process are measured. The data, methodology and empirical results given in this article wll allow to build a model to describe and potentially forecast the occurence of price jumps. The Ability to estimate the conditional probability of jumps to occur would be a very valuable input for risk ...