Search Results - subject:"predictability"

The 52-week high, momentum, and predicting mutual fund returns

Sapp, Travis R. A. - In: Review of quantitative finance and accounting 37 (2011) 2, pp. 149-179

Persistent link: https://www.econbiz.de/10009271479

Aggregate earnings and expected stock returns in emerging markets

Demirtas, K. Ozgur; Zirek, Duygu - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 4-22

Persistent link: https://www.econbiz.de/10009313732

Why Are Asset Returns Predictable?

Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10010297953

In-sample or out-of-sample tests of predictability: which one should we use?

Inoue, Atsushi; Kilian, Lutz - 2002

It is widely known that significant in-sample evidence of predictability does not garantuee significant out …-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted … is a plausible explanation of the observed tendency of in-smaple tests to reject the no predictability null more often …

Persistent link: https://www.econbiz.de/10011604241

Speculative Behavior and Heterogeneous Expectations: Theory and Evidence

Park, Cheolbeom - Department of Economics, National University of Singapore - 2002

volatility test and the predictability of the dispersion in expectations across investors. …

Persistent link: https://www.econbiz.de/10005518271

In-sample or out-of-sample tests of predictability: which one should we use?

Inoue, Atsushi; Kilian, Lutz - European Central Bank - 2002

Persistent link: https://www.econbiz.de/10005530901

Conditional Asset Pricing in Emerging Stock Markets

Drobetz, Wolfgang; Stürmer, Susanne; Zimmermann, Heinz - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) IV, pp. 507-526

predictability can be explained by time-variation in economic risk premiums. Instead of testing a traditional beta pricing model, we …

Persistent link: https://www.econbiz.de/10005427449

Onweerlegbaar Bewijs? Over het Belang en de Waarde van empirisch Onderzoek voor Financierings- en Beleggingsvraagstukken

Verbeek, Marno - Erasmus Research Institute of Management (ERIM), … - 2002

Rede, in verkorte vorm uitgesproken bij de aanvaarding van het ambt van hoogleraar Ondernemingsfinanciering aan de Faculteit der Bedrijfskunde en de Faculteit der Economische Wetenschappen van de Erasmus Universiteit Rotterdam op vrijdag 21 juni 2002

Persistent link: https://www.econbiz.de/10010837409

Market timing and return prediction under model instability

Pesaran, M. Hashem; Timmermann, Allan - London School of Economics (LSE) - 2002

Despite mounting empirical evidence to the contrary, the literature on predictability of stock returns almost uniformly …

Persistent link: https://www.econbiz.de/10010745100

Is the European Central Bank (and the United States Federal Reserve) predictable?

Quirós, Gabriel Pérez; Sicilia, Jorge - Banco de España - 2002

The objective of this paper is to examine the predictability of the monetary policy decisions of the Governing Council …, using new methodologies, that markets do not fully predict the ECB decisions but the lack of perfect predictability is …

Persistent link: https://www.econbiz.de/10004981007