2,969 research outputs found
Stock price reaction to earnings announcement: the case of an emerging market
In an efficient stock market stock prices instantaneously and accurately adjust to new information. This paper conducts an event study analysis on an emerging market namely the Karachi Stock Exchange (KSE) by investigating the stock price reaction to public announcement of quarterly after tax profit by listed firms. By employing 5 year data on stock prices from January 2004 to August 2008 for 114 non financial firms we found that there is no abnormal return post earnings announcement. Moreover the study provides evidence that there is a bigger element of surprise in bad news than in good news as the market reaction to bad news is stronger.Event Study, Earnings Announcement, Emerging Markets
Compressed Sensing Performance Analysis via Replica Method using Bayesian framework
Compressive sensing (CS) is a new methodology to capture signals at lower
rate than the Nyquist sampling rate when the signals are sparse or sparse in
some domain. The performance of CS estimators is analyzed in this paper using
tools from statistical mechanics, especially called replica method. This method
has been used to analyze communication systems like Code Division Multiple
Access (CDMA) and multiple input multi- ple output (MIMO) systems with large
size. Replica analysis, now days rigorously proved, is an efficient tool to
analyze large systems in general. Specifically, we analyze the performance of
some of the estimators used in CS like LASSO (the Least Absolute Shrinkage and
Selection Operator) estimator and Zero-Norm regularizing estimator as a special
case of maximum a posteriori (MAP) estimator by using Bayesian framework to
connect the CS estimators and replica method. We use both replica symmetric
(RS) ansatz and one-step replica symmetry breaking (1RSB) ansatz, clamming the
latter is efficient when the problem is not convex. This work is more
analytical in its form. It is deferred for next step to focus on the numerical
results.Comment: The analytical work and results were presented at the 2012 IEEE
European School of Information Theory in Antalya, Turkey between the 16th and
the 20th of Apri
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