Search Results - subject:"predictability"

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

Review of monetary policy in South Africa since 1994

Aron, Janine; Muellbauer, John - 2006

and reasonable predictability of monetary policy since adopting inflation targeting in 2000. The SA Reserve Bank's view on …

Persistent link: https://www.econbiz.de/10009441502

Forecasting economic aggregates by disaggregates

Hendry, David F.; Hubrich, Kirstin - 2006

We suggest an alternative use of disaggregate information to forecast the aggregate variable of interest, that is to include disaggregate information or disaggregate variables in the aggregate model as opposed to first forecasting the disaggregate variables separately and then aggregating those...

Persistent link: https://www.econbiz.de/10011604635

What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2006

We combine the dynamic dividend-discount model with an accounting-based vector autoregression framework that allows for a decomposition of EU banks' stock returns to cash-flow and expected return news components. The main findings are that while the bulk of the variability of EU banks' stock...

Persistent link: https://www.econbiz.de/10011604723

The Persistence and Predictive Power of the Dividend-Price Ratio

Park, Cheolbeom - Department of Economics, National University of Singapore - 2006

This paper presents strong statistical evidence that the dividend- price ratio in the US has experienced a change in persistence from I(0) to I(1), while stock returns have not. This provides an econometric explanation why the predictive power of the dividend-price ratio in the US has changed...

Persistent link: https://www.econbiz.de/10005518306

An Alternative Definition of Market Efficiency and some Comments on its Empirical Testing

Milionis, Alexandros E. - Bank of Greece - 2006

An alternative definition for market efficiency, based on econometric rather than financial arguments is suggested. It is argued that this new definition, though equivalent to the existing one, has some comparative advantages. Moreover, the conditions under which the results from the application...

Persistent link: https://www.econbiz.de/10005523519

Forecasting economic aggregates by disaggregates

Hendry, David F.; Hubrich, Kirstin - European Central Bank - 2006

Persistent link: https://www.econbiz.de/10005530754

What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - European Central Bank - 2006

Persistent link: https://www.econbiz.de/10005530946

Asset pricing with adaptive learning

Poveda, Eva Carceles; Giannitsarou, Chryssi - Society for Computational Economics - SCE - 2006

, constant gain learning may sometimes contribute towards explaining the stock price volatility and the predictability of excess …

Persistent link: https://www.econbiz.de/10005537401

Subsampling-Based Tests of Stock-Return Predictability

Choi, In; Chue, Timothy K. - Institute of Economic Research, Hitotsubashi University - 2006

We develop subsampling-based tests of stock-return predictability and apply them to U.S. data. These tests allow for … predictors, our univariate tests show that the evidence of predictability is more concentrated in the 1926-1994 subperiod. In … bivariate tests, we find support for predictability in the full sample period 1926-2004 and the 1952-2004 subperiod as well. For …

Persistent link: https://www.econbiz.de/10005489451