Search Results - subject:"predictability"

The effects of nonsynchronous trading in the Brazilian capital market

Beteto, Danilo Lopomo; Bergmann, Daniel Reed - In: Brazilian Business Review 4 (2007) 1, pp. 28-41

in the observed rates of return, causing a false idea of predictability. To approximate it to reality, we extend the …

Persistent link: https://www.econbiz.de/10010631385

Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability

Cao, Melanie - 1997

portfolio with return predictability, endogenous stochastic volatility and interest rates. Equilibrium conditions imply that the …

Persistent link: https://www.econbiz.de/10011940600

Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability

Cao, Melanie - Economics Department, Queen's University - 1997

portfolio with return predictability, endogenous stochastic volatility and interest rates. Equilibrium conditions imply that the …

Persistent link: https://www.econbiz.de/10005653216

Testing Dependence among Serially Correlated Multi-Category Variables

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2006

tests are useful, for example, when testing for predictability of one sequence of discrete random variables by means of … serial dependencies in predictability tests. …

Persistent link: https://www.econbiz.de/10005763908

Stock and Bond Returns with Moody Investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steve - C.E.P.R. Discussion Papers - 2006

, and the term spread. Also, the model matches the evidence for predictability of excess stock and bond returns. However …

Persistent link: https://www.econbiz.de/10005661851

Non-linear long horizon returns predictability: evidence from six south-east Asian markets

McMillan, David; Speight, Alan - In: Asia-Pacific Financial Markets 13 (2006) 2, pp. 95-111

Whilst the existence of long-horizon returns predictability has been a recurrent theme in empirical finance research … predictability due to non-stationarity and serial correlation in the data. The present paper examines long-horizon returns … predictability in six South-East Asian markets in the context of unit root tests conducted under corrections for serial correlation …

Persistent link: https://www.econbiz.de/10005727118

The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex

Nieto, Belén; Rodríguez, Rosa - In: Spanish Economic Review 8 (2006) 3, pp. 199-226

Persistent link: https://www.econbiz.de/10005755528

Predictability in Financial Markets: What Do Survey Expectations Tell Us?

Bacchetta, Philippe; Mertens, Elmar; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2006

There is widespread evidence of excess return predictability in financial markets. In this paper we examine whether … this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of … find that the predictability of expectational errors coincides with the predictability of excess returns: when a variable …

Persistent link: https://www.econbiz.de/10005791440

Liquidity and Expected Returns: Lessons from Emerging Markets

Bekaert, Geert; Harvey, Campbell; Lundblad, Christian T - C.E.P.R. Discussion Papers - 2006

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...

Persistent link: https://www.econbiz.de/10005792280

Consumption, wealth, and expected asset returns in the United States. Implications of housing wealth and housing consumption

Finicelli, Andrea - Society for Economic Dynamics - SED - 2006

Using US quarterly post-war data, this paper documents the existence of two common trends among non-housing non durable and housing consumption, financial and real estate wealth, and labour income (a proxy for human wealth). The first equilibrium relationship reflects the stationarity of the...

Persistent link: https://www.econbiz.de/10005051222