G14 - Information and Market Efficiency; Event Studies - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T20:34:39+00:00Text Mining and the Information Content of Bank of Canada Communications
https://www.bankofcanada.ca/2010/11/working-paper-2010-31/
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.2010-11-29T09:36:45+00:00enText Mining and the Information Content of Bank of Canada Communications2010-11-29Financial marketsMonetary policy implementationWorking Paper 2010-31https://www.bankofcanada.ca/wp-content/uploads/2010/11/wp10-31.pdfText Mining and the Information Content of Bank of Canada CommunicationsScott HendryAlison MadeleyNovember 2010EE5E58GG1G14Idiosyncratic Coskewness and Equity Return Anomalies
https://www.bankofcanada.ca/2010/05/working-paper-2010-11/
In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.2010-05-20T14:53:53+00:00enIdiosyncratic Coskewness and Equity Return Anomalies2010-05-20Economic modelsFinancial marketsWorking Paper 2010-11https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-11.pdfIdiosyncratic Coskewness and Equity Return AnomaliesFousseni Chabi-YoJun YangMay 2010GG1G11G12G14G3G33