scholarly journals Analyzing the Association between Pattern and Returns Using Goodman–Kruskal Prediction Error Reduction Index (λ)

Complexity ◽  
2022 ◽  
Vol 2022 ◽  
pp. 1-8
Author(s):  
Parmod Kumar Paul ◽  
Om Prakash Mahela ◽  
Baseem Khan
Keyword(s):  
Empirical Analysis ◽  
Prediction Error ◽  
Stock Exchange ◽  
Error Reduction ◽  
Proportional Reduction ◽  
Reduction Index

For selecting and interpreting appropriate behaviour of proportion between buy/neutral/sell patterns and high/moderate/low returns, the prediction error reduction index is a very useful tool. It is operationally interpretable in terms of the proportional reduction in error of estimation. We first obtain the buy/sell pattern using an Optimal Band. The analysis of the association between patterns and returns is based on the Goodman–Kruskal prediction error reduction index ( λ ). Empirical analysis suggests that the prediction of returns from patterns is more impressive or of less error as compared to the prediction of patterns from returns. We demonstrated the prediction index for Index NIFTY 50, BANK-NIFTY, and NIFTY-IT of NSE (National Stock Exchange), for the period 2010–2020.

scholarly journals Price adjustments on the Johannesburg Stock Exchange for unexpected and dramatic news events: An empirical analysis

1989 ◽  
Vol 20 (3) ◽  
pp. 119-128 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Empirical Analysis ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Price Adjustments ◽  
Weak Evidence ◽  
News Events ◽  
One Year

The objective of this study is to determine whether companies listed on the Johannesburg Stock Exchange overreacted to unexpected favourable and unfavourable company-specific news events during the period 1970 - 1984. The JSE appears to be inefficient in reacting to the announcement of unfavourable news; economically significant abnormal returns up to one year following the event are observed. The JSE does not appear to overreact to news of a favourable nature, there is only weak evidence of short-term overreaction. The selling pressure caused by panic selling could depress prices well below levels justified by the unfavourable news. The magnitude of the overreaction to unfavourable news is sufficient to enable astute investors to outperform the market by taking positions in these securities. Knowledge of the pattern of market overreaction can also be of value to investors for transactions that are to take place anyway.

scholarly journals Excitatory second-order conditioning using a backward first-order conditioned stimulus: A challenge for prediction error reduction

2018 ◽  
Vol 72 (6) ◽  
pp. 1453-1465 ◽  
Author(s):  
Arthur Prével ◽  
Vinca Rivière ◽  
Jean-Claude Darcheville ◽  
Gonzalo P Urcelay ◽  
Ralph R Miller
Keyword(s):  
Conditioned Stimulus ◽  
Conditioned Reinforcement ◽  
Prediction Error ◽  
Conditioned Reinforcer ◽  
Error Reduction ◽  
Second Order ◽  
Temporal Coding ◽  
First Order ◽  
Order Conditioning ◽  
Opponent Processes

Prével and colleagues reported excitatory learning with a backward conditioned stimulus (CS) in a conditioned reinforcement preparation. Their results add to existing evidence of backward CSs sometimes being excitatory and were viewed as challenging the view that learning is driven by prediction error reduction, which assumes that only predictive (i.e., forward) relationships are learned. The results instead were consistent with the assumptions of both Miller’s Temporal Coding Hypothesis and Wagner’s Sometimes Opponent Processes (SOP) model. The present experiment extended the conditioned reinforcement preparation developed by Prével et al. to a backward second-order conditioning preparation, with the aim of discriminating between these two accounts. We tested whether a second-order CS can serve as an effective conditioned reinforcer, even when the first-order CS with which it was paired is a backward CS that elicits no responding. Evidence of conditioned reinforcement was found, despite no conditioned response (CR) being elicited by the first-order backward CS. The evidence of second-order conditioning in the absence of excitatory conditioning to the first-order CS is interpreted as a challenge to SOP. In contrast, the present results are consistent with the Temporal Coding Hypothesis and constitute a conceptual replication in humans of previous reports of excitatory second-order conditioning in rodents with a backward CS. The proposal is made that learning is driven by “discrepancy” with prior experience as opposed to “ prediction error.”

scholarly journals Exploring the moderating effect of family CEO on the association between family ownership and firm value: An empirical analysis of top Indian family firms

2015 ◽  
Vol 12 (2) ◽  
pp. 349-361
Author(s):  
Lakshmi Kalyanaraman
Keyword(s):  
Family Member ◽  
Empirical Analysis ◽  
Interaction Effect ◽  
Firm Value ◽  
Family Firms ◽  
Stock Exchange ◽  
Moderating Effect ◽  
Market Valuation ◽  
Family Ownership ◽  
The Relationship

We study 288 family firms included in the NSE CNX 500 index of the National Stock Exchange of India. We find an entrenchment-alignment-entrenchment relationship between family ownership and firm value. We show that family CEO has a negative moderating effect on the relationship between family ownership and firm value. When the interaction effect of Family CEO on family ownership is controlled, only family shareholding in the alignment range is found to be statistically significant. The study shows that family firms with family CEO suffer from a decrease in market valuation. This finding is extremely valuable given the fact that India is dominated by family firms and majority of family firms appoint a family member as CEO

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