Search Results - subject:"predictability"

Lüders, Erik - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 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/10005097932

Financial statement information and the prédiction of stock returns in a small capital market: the case of Belgium

Van Campenhout, Geert; Van Caneghem, Tom; Van … - In: Brussels Economic Review 45 (2002) 3, pp. 65-90

The most common definition of efficient stock markets states that in such markets prices fully reflect all available information. This obviously implies that in order for a market to be deemed (semi-strongly) efficient, it should not be possible to earn abnormal returns using trading strategies...

Persistent link: https://www.econbiz.de/10005698008

THE CONSUMPTION-WEALTH AND BOOK-TO-MARKET RATIOS IN A DYNAMIC ASSET PRICING CONTEXT

Nieto, Belén; Rodríguez, Rosa; Barrera, Rosa Rodríguez- - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2002

predictability regression used is based on intertemporal asset pricing models, which indicate that the consumption-wealth ratio is a …

Persistent link: https://www.econbiz.de/10005227300

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

Verbeek, M.J.C.M. - Erasmus Research Institute of Management (ERIM), 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/10005304710

Output and Expected Returns - a multicountry study

Rangvid, Jesper - Copenhagen Business School - 2002

, and predictability of returns is related to the macroeconomic <p> environment that ultimately determines the investment …

Persistent link: https://www.econbiz.de/10005190509

Pinkness of the North Atlantic Oscillation signal revisited

Fernández, Isabel; Pacheco, José M.; Quintana, María P. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5801-5807

–2010 has attracted more attention to its predictability. Previous analyses (Fernández et al. (2003) [16] and Caldeira et … authors address a predictability study of the NAO index by applying the “detrended fluctuation analysis” (DFA) to a composite … series, completed with a bootstrap spectral analysis. The DFA provides a quantitative measure of predictability by computing …

Persistent link: https://www.econbiz.de/10011059210

Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions

Tsai, Chih-Ling; Wang, Hansheng; Zhu, Ning - In: Annals of the Institute of Statistical Mathematics 62 (2010) 1, pp. 109-116

Persistent link: https://www.econbiz.de/10008497334

A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY

KONNO, HIROSHI; TAKAYA, YOSHIHIRO; YAMAMOTO, REI - In: International Journal of Theoretical and Applied … 13 (2010) 03, pp. 355-366

In this paper, we will propose a practical method for improving the performance of a maximal predictability portfolio …

Persistent link: https://www.econbiz.de/10008494376

Stock return predictability despite low autocorrelation

Amini, Shima; Hudson, Robert; Keasey, Kevin - In: Economics Letters 108 (2010) 1, pp. 101-103

statistic as a measure of stock market predictability. …

Persistent link: https://www.econbiz.de/10008494880

A note on the relation between the equity risk premium and the term structure

Kanas, Angelos - In: Journal of Economics and Finance 34 (2010) 1, pp. 89-95

Persistent link: https://www.econbiz.de/10008591035