predictability of the crisis both in nature and extent. This paper attempts to address these issues using data from Indonesia. The …

forecasters ignore this predictability. Using our empirical results as the motivation, we study the effects of revisions in a … having data revisions to be about $43 billion, $12 billion of which can be recovered by eliminating the predictability of …

I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over …. Specifically, predictability of returns, as measured by their first-order autocorrelation coefficient, was positive most of the … increase. I argue that this time-pattern of predictability of returns is consistent with feedback effects of futures trading on …

We consider a two-period portfolio problem with predictable assets returns. First-order (second-order) predictability … stochastic interest rates (bond portfolios) belong to one of these two types of predictability. We first show that a first … is uniformly larger than unity. This implies that first-order predictability generates a positive hedging demand for …

predictability of the crisis both in nature and extent. This paper attempts to address these issues using data from Indonesia. The …

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to … issue of predictability in the ME&A emerging markets, three different tests have been employed to draw conclusions. It was … found that by using the three different tests, one receives slightly different results on predictability. In general, one …

predictability in the period 1997-2003. Using monthly data, the analysis is performed on 48 most liquid Polish stocks that are … for transaction costs. We find statistically significant stock return predictability but the economic significance cannot …