Rebecca Bommarito
Ph.D. Candidate/Computational Justice Lab/Claremont Graduate University
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RESEARCH INTERESTs
RESEARCH INTERESTs
Financial Economics with an emphasis on time-series analysis to identify anomalies that exist within financial markets and how investors can profit using arbitrage. I am also interested in how future governmental policies affect forecast error and how to improve accuracy.
PROJECTS
PROJECTS
The Announcement Effect
The Announcement Effect
This research estimates what fraction of the seasonal variation in returns can be attributed to earnings announcements and macroeconomic release dates and if market reactions are heterogeneous dependent on the month of announcement. I find evidence that there are heterogeneous reactions dependent on the month of announcement across all financial sectors. Additionally, I discuss how these results violate the efficient market hypothesis, and ways investors can incorporate this seasonality into their investment strategy to improve their position.
Draft Coming Soon
Forecast Error: A Cause of Government Intervention or Market Conditions?
Forecast Error: A Cause of Government Intervention or Market Conditions?
Using time-series analysis, I test whether the differential between the forecasted yield and actual yield on different securities is caused by market conditions or by government intervention (via monetary and fiscal policy). I identify there is a strong influence of government intervention on forecast error. Additionally, I created my own forecasts for these securities to compare with those used in this analysis.
Draft Coming Soon
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