The News in Financial Asset Returns

The notion that financial asset returns are predictors of future economic activity is widespread, but detailed analyses provide little support for financial markets ability to reveal future economic activity. Even though the evidence on various indicators used by different researchers is mixed, the authors of this article explore the notion that financial markets reveal useful information about future economic activity. This article examines and answers two questions: First, what is a good way of extracting information about future economic activity from asset prices? Second, do financial asset returns help predict economic activity over horizons from one month to five years? To determine whether news of an assets excess return can reveal information about unexpected economic activity, the authors construct a method of extracting the news about future economic activity from returns on financial assets. The authors use linear regressions to relate the unexpected parts of economic activity and the assets return to actual economic activity and the actual return on an asset. The evidence in the article shows that movements in financial markets do presage developments in the economy. The authors find that movements in the overall stock market and bond returns are the most important financial indicators. It remains to be seen whether those indicators hold up to variations in technique or the passage of time

Predicting Product Performance with Social Media

Last 20 years brought massive growth in IT&C world. Mobile solutions such as netbooks, laptops, mobile phones, tablets enable the wireless connection to the Internet. Anyone can ac-cess it anytime and anywhere. In this context, a part of the activities from the real world have a correspondence in the online discussions. Social media in general and social networks in particular have turned into marketing tools for organizations and a place where people can express their opinions and attitudes about products.The paper shows how social media can be used for predicting the success of a product or service. To showcase this, two case studies are presented; a test to prove that the conversations that take place in social media are a good indicator of success and the second is an exercise to predict the winner of the Oscar for best picture in 2011.Social Media, Social Networks, Prediction, Movie, Internet

The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk

The aim of this study is to analyze the relevance of recently developed news-based measures of economic policy and equity market uncertainty in causing and predicting the conditional quantiles of crude oil returns and risk. For this purpose, we studied both the causality relationships in quantiles through a non-parametric testing method and, building on a collection of quantiles forecasts, we estimated the conditional density of oil returns and volatility, the out-of-sample performance of which was evaluated by using suitable tests. A dynamic analysis shows that the uncertainty indexes are not always relevant in causing and forecasting oil movements. Nevertheless, the informative content of the uncertainty indexes turns out to be relevant during periods of market distress, when the role of oil risk is the predominant interest, with heterogeneous effects over the different quantiles levels.http://www.elsevier.com/locate/physa2019-10-01hj2018Economic