Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market

We study the economic and non-economic sources of stock return comovements of the emerging Indian equity market and the developed equity markets of the US, UK, Germany, France, Canada and Japan. Our findings show that the probability of extreme comovements in the economic contraction regime is relatively higher than in the economic expansion regime. We show that international interest rates, inflation uncertainty and dividend yields are the main drivers of the asymmetric return comovements. Findings reported in the paper imply that the impact of interest rates and inflation on return comovements could be used for anticipating financial contagion and/or spillover effects. This is particularly critical since during extreme market conditions, the tail return comovements can potentially reveal critical information for active portfolio management

Predictability of stock returns using financial statement information: Evidence on semi-strong efficiency of emerging Greek stock market

This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market does not fully incorporate accounting information into stock prices and hence it is not semi-strong efficient

Biomedical Event Trigger Identification Using Bidirectional Recurrent Neural Network Based Models

Biomedical events describe complex interactions between various biomedical entities. Event trigger is a word or a phrase which typically signifies the occurrence of an event. Event trigger identification is an important first step in all event extraction methods. However many of the current approaches either rely on complex hand-crafted features or consider features only within a window. In this paper we propose a method that takes the advantage of recurrent neural network (RNN) to extract higher level features present across the sentence. Thus hidden state representation of RNN along with word and entity type embedding as features avoid relying on the complex hand-crafted features generated using various NLP toolkits. Our experiments have shown to achieve state-of-art F1-score on Multi Level Event Extraction (MLEE) corpus. We have also performed category-wise analysis of the result and discussed the importance of various features in trigger identification task.Comment: The work has been accepted in BioNLP at ACL-201