Cross-Sectional Uncertainty and Aggregate Stock Returns

The rise in popularity of central bank digital currencies. A systematic review

“…Other articles strictly focus on new money [ 119 , 120 ], CBDCs as new financial instruments [ 121 ], the digital Euro [ 122 ] or various cryptocurrencies and the sustainability-related ecosystem around them [ [123] , [124] , [125] , [126] , [127] ]. By constructing an overview of how modern money is created and combining contemporary heterodox theories and the most recent empirical data, it is suggested that a greater institutional understanding of modern money processes might be useful for enhancing our ability to consider how money generation might more effectively address the needs of the current social and environmental system.…”

“…Once more is known about the features and design of CBDCs, specialists will be able to apply similar investment strategies to them, as in the case of stocks, and measure them using similar indicators. For example, cross-sectional uncertainty (CSU) can produce important returns when it comes to stocks if its predictability is measured correctly and can be used to forecast market excess returns [ 123 ]. In the future, it could be adapted to CBDCs and cryptocurrencies as well.…”

Estimating contagion mechanism in global equity market with time‐zone effect

“…On a typical day, traders from American markets, including the United States and Canada, know that day's trading in Asia due to time‐zone differences and receive the information from European stock exchanges. Compared with stock markets in other continents, American equity markets encompass more information and, hence, place more weight on the daily global stock market (e.g., Bekaert et al., 2009; Tong & Wei, 2011; Yu & Huang, 2023). Consequently, the time‐zone effect caused by geographic location profoundly influences the global equity market, especially when studies involve daily trade data.…”

How to measure earnings surprises: Based on revised market reaction

“…Conversely, O'Brien [1] demonstrated that forecasts' errors based on the Foster Model proved to better explain abnormal returns than those established by analysts. Such as some financial valuation ratios can also be used to predict futures tock earnings [10][11][12]. Subsequently, most literature acknowledges analysts' earnings forecasts as a more reliable indication of stock market consensus and uses them as a proxy for market consensus expectations [13].…”