Search Results - subject:"predictability"

Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225

Liu, Shinhua - In: Journal of Financial Services Research 34 (2008) 1, pp. 77-91

Persistent link: https://www.econbiz.de/10005680201

Momentum Profitability and Market Trend: Evidence from REITs

Hung, Szu-Yin; Glascock, John - In: The Journal of Real Estate Finance and Economics 37 (2008) 1, pp. 51-69

Persistent link: https://www.econbiz.de/10005680569

How well do financial and macroeconomic variables predict stock returns: Time-series and cross-sectional evidence

Rasmussen, Anne-Sofie Reng - Ehrvervøkonomisk Institut, Institut for Økonomi - 2008

Recent evidence of mean reversion in stock returns has led to an explosion in the development of forecasting variables. This paper evaluates the relative performance of these many variables in both time-series and cross-sectional setups. We collect the different measures and compare their...

Persistent link: https://www.econbiz.de/10005802545

Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns

Møller, Stig Vinther - Ehrvervøkonomisk Institut, Institut for Økonomi - 2008

This paper finds empirical support for the habit persistence model of Campbell and Cochrane (1999) along both cross-sectional and time-series dimensions of the US stock market over the period 1947-2005. GMM estimations show that the model is able to explain a substantial part of the...

Persistent link: https://www.econbiz.de/10005802550

Sentiment Dynamics and Stock Returns: The Case of the German Stock Market

Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008

We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...

Persistent link: https://www.econbiz.de/10005755276

Return Predictability under Equilibrium Constraints on the Equity Premium

Pettenuzzo, Davide; Timmermann, Allan G.; Valkanov, … - Department of Economics, International Business School, … - 2008

predictability of stock returns, we find that theoretical constraints have an important effect on the coefficient estimates and can …

Persistent link: https://www.econbiz.de/10009293724

On a semiparametric survival model with flexible covariate effect

Nielsen, Jens P.; Linton, Oliver; Bickel, Peter J. - London School of Economics (LSE) - 1998

A semiparametric hazard model with parametrized time but general covariate dependency is formulated and analyzed inside the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters: the resulting estimator is n1/2-consistent,...

Persistent link: https://www.econbiz.de/10010928597

Short-term returns and the predictability of Finnish stock returns

Vaihekoski, Mika - Volkswirtschaftliche Fakultät, … - 1998

The predictability of Finnish stock returns is studied using the framework of Ferson and Harvey (1993). We use a … variables. In particular, we study the effect of the return interval on the predictability of short-term stock returns. Using … daily, weekly, and monthly Finnish size and industry-sorted portfolio returns, we find that the predictability of returns …

Persistent link: https://www.econbiz.de/10005621569

A Comparative Study of Test Procedures uses in Assessing the Forecasting Ability of Linear Models with Applications to Crop Yield Data

Linardis, Apostolis; Panaretos, John - Volkswirtschaftliche Fakultät, … - 1998

candidate models. In the present paper an evaluation scheme of the predictability of a linear model based on a function of the … function, the predictability of a linear model is tested. Considering the ratio of such functions for two linear models, the … predictability of these models is compared. Applications on real and simulated data are also presented …

Persistent link: https://www.econbiz.de/10005835399

Two essays on the predictability of asset prices:"Benchmarking problems and long horizon abnormal returns"and,"Low R square in the cross section of expected returns"

Sanchez, Benito - 2007

This dissertation consists of two essays on predictability of asset prices. "Benchmarkingproblems and long horizon …

Persistent link: https://www.econbiz.de/10009468641