Search Results - subject:"predictability"

Equity premium predictability over the business cycle

Mönch, Emanuel; Stein, Tobias - 2021

The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...

Persistent link: https://www.econbiz.de/10012613058

Predicting returns and dividend growth - the role of non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang - 2021

, suggesting that workhorse models on predictability are sufficient. For density forecasts, however, we finnd that stochastic …

Persistent link: https://www.econbiz.de/10012654480

Forecasting the equity risk premium in the Korean stock market: A factor analysis approach

Chun, Sungju - In: Global Business & Finance Review (GBFR) 26 (2021) 4, pp. 77-89

Purpose: This article investigates stock return predictability in the Korean stock market using the methodology of … forecasting performance of the dynamic factor predictive regression model by comparing in-sample and out-of-sample predictability … statistically and economically significant in-sample predictability for the future equity risk premium for the KOSPI, as strongly as …

Persistent link: https://www.econbiz.de/10015098771

Equity premium predictability over the business cycle

Mönch, Emanuel; Stein, Tobias - 2021

Persistent link: https://www.econbiz.de/10012607106

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

Forecasting the equity risk premium in the Korean stock market : a factor analysis approach

Chun, Sungju - In: Global business and finance review 26 (2021) 4, pp. 77-89

Persistent link: https://www.econbiz.de/10013197293

The Quality of Aid for Trade Flows and Economic Complexity

Gnangnon, Sèna Kimm - 2023

account not only the amount of AfT flows, but also the predictability and volatility of these capital inflows. A country … complexity in developing countries may not be only the amounts of the total AfT flows, but more importantly the predictability …

Persistent link: https://www.econbiz.de/10014286007

Modifications on book-valued ratios

Georgiou, Catherine - In: International Journal of Business and Economic Sciences … 15 (2023) 3, pp. 24-37

book, dividends and earnings, Our analysis includes evidence of predictability on dividend and earnings growth rates on the …

Persistent link: https://www.econbiz.de/10014434600

Long-term investing under uncertain parameter instability

Keijsers, Bart - 2023

The relationship between excess returns and the dividend price ratio is known to be unstable. However, there is no consensus on the type of instability, i.e. few or many breaks. Differences in parameter instability affect the long-term investor in particular, as misspecification errors are...

Persistent link: https://www.econbiz.de/10014469516

The contribution of transaction costs to expected stock returns: A novel measure

Hiraki, Kazuhiro; Skiadopoulos, George - 2023

We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...

Persistent link: https://www.econbiz.de/10014480627