Search Results - subject:"horizon predictability"

Multi-Horizon Equity Returns Predictability via Machine Learning

Nechvatalova, Lenka - 2021

We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks, and gradient boosted regression trees on the U.S. and international equity datasets. We find that predictability of returns using neural networks models decreases with longer...

Persistent link: https://www.econbiz.de/10012695520

Multi-horizon equity returns predictability via machine learning

Nechvatalova, Lenka - 2021

Persistent link: https://www.econbiz.de/10012426271

Should stock returns predictability be "hooked on" long-horizon regressions?

Dergiades, Theologos; Pouliasis, Panos K. - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 718-732

Persistent link: https://www.econbiz.de/10014253284

Forecasting the long-term equity premium for asset allocation

Sakkas, Athanasios; Tessaromatis, Nikolaos P. - In: Financial analysts journal : FAJ 78 (2022) 3, pp. 9-29

Persistent link: https://www.econbiz.de/10013362696

Predicting by learning : an adaptive rationale

Deng, Kaihua - In: Annals of financial economics 10 (2015) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011408579

Long horizon predictability : an asset allocation perspective

Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 278 (2019) 3, pp. 961-975

Persistent link: https://www.econbiz.de/10012102524

The dividend-price ratio does predict dividend growth: International evidence

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009

�cation: G12, E44 Keywords: Dividend-price ratio, equity return and dividend growth, short- and long horizon predictability, VAR … when considering long-horizon predictability it is important to go beyond just 5 or 10 year horizons, we in- vestigate … refer to (2) as the underlying theoretical frame- work. 3.1 Short-horizon predictability Initially, we consider Cochrane …

Persistent link: https://www.econbiz.de/10005037431

The consumption-income ratio, entrepreneurial risk, and the U.S. stock market

Hoffmann, Mathias - In: Journal of money, credit and banking : JMCB 46 (2014) 6, pp. 1259-1292

Persistent link: https://www.econbiz.de/10010466585

Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns

Hoffmann, Mathias - 2006

Proprietors are an important group of stockholders and non-diversifiable entrepreneurial risk could therefore help explain time-varying risk premia on the aggregate stock market. This paper suggests an entrepreneurial distress factor that is highly correlated with the aggregate...

Persistent link: https://www.econbiz.de/10010296728

Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns

Hoffmann, Mathias - CESifo - 2006

Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs’ hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...

Persistent link: https://www.econbiz.de/10005094405