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Changes in earnings-price ratios and excess returns : a case of investor over-reaction
Bartholdy, Jan - 1998
Persistent link: https://www.econbiz.de/10000994150
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Can the variance after-effect distort stock returns?
Berrada, Tony - 2021
construct a proxy of the adjustment factor using the sequence of dispersion of analysts earnings forecast. We provide empirical …
Persistent link: https://www.econbiz.de/10012487731
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LPPLS bubble indicators over two centuries of the S&P 500 index
Zhang, Qunzhi; Sornette, Didier; Balcilar, Mehmet; … - 2016
The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S&P 500 data covering the period from August 1791 to August...
Persistent link: https://www.econbiz.de/10011514490
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Cultural diversity on Wall Street : evidence from sell-side analysts' forecasts
Merkley, Kenneth J.; Michaely, Roni; Pacelli, Joseph - 2019
cultural diversity positively affect the quality of the consensus earnings forecast. We further provide evidence on the … aggregate forecast are associated with a higher quality consensus forecast …
Persistent link: https://www.econbiz.de/10012003019
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On the out-of-sample predictability of stock market returns
Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001971221
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Predicting returns and dividend growth : the role of non-Gaussian innovations
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang - 2021
Persistent link: https://www.econbiz.de/10012605024
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Forecasting volatility in European stock markets with non-linear GARCH models
Forte, Gianfranco; Manera, Matteo - 2002
classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the … standard GARCH specification, the non-linear models generally lead to better forecasts in terms of both smaller forecast errors … and lower biases. In-sample forecast combination regressions are better than those from single Mincer …
Persistent link: https://www.econbiz.de/10011598042
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Mind the (convergence) gap: bond predictability strikes back!
Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - 2019 - This version: August 29, 2019
We show that the difference between the natural rate of interest and the current level of monetary policy stance, which we label Convergence Gap (CG), contains information that is valuable for bond predictability. Adding CG in forecasting regressions of bond excess returns significantly raises...
Persistent link: https://www.econbiz.de/10012134247
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Towards a decomposition for the future : closeness, remoteness & temporal biases
Drugeon, Jean-Pierre; Ha-Huy, Thai - 2018
Persistent link: https://www.econbiz.de/10012000726
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What do German short-term interest rates tell us about future inflation?
Grech, Harald - 2004
Persistent link: https://www.econbiz.de/10002718486