Search Results - subject:"predictability"

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264939

Predictability and the cross-section of expected returns: A challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...

Persistent link: https://www.econbiz.de/10012271695

Time-varying risk aversion and the profitability of carry trades: Evidence from the cross-quantilogram

Demirer, Rıza; Gupta, Rangan; Hassani, Hossein; Huang, Xu - In: Economies 8 (2020) 1, pp. 1-12

cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to …

Persistent link: https://www.econbiz.de/10013199647

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-34

over short and long horizons. The return predictability is economically and statistically significant and robust to various …

Persistent link: https://www.econbiz.de/10012611264

Frequency-domain information for active portfolio management

Faria, Gonçalo; Verona, Fabio - 2020

We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more...

Persistent link: https://www.econbiz.de/10012614196

On the drivers of inflation in different monetary regimes

Garcés Díaz, Daniel G. - 2020

This document proposes a general macroeconomic framework to analyze the behavior of inflation. This approach has two characteristics. The first is the distinction of monetary regimes based on the number of shocks that have a permanent effect on the price level. When all shocks have a permanent...

Persistent link: https://www.econbiz.de/10012616409

The law of one price in equity volatility markets

Van Tassel, Peter - 2020

This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...

Persistent link: https://www.econbiz.de/10012619530

The British stock market under the structure of market capitalization value: New evidence on its predictive content

Georgiou, Catherine - In: International Journal of Business and Economic Sciences … 13 (2020) 3, pp. 56-69

earnings growth predictability under the presence of the most recent global financial recession. Second, we exploit the long … predictability is evident in the medium and large-sized portfolios and is better captured by pdet at 35% and 47% equivalently. Second … predictability. Finally, the novelty of this paper lies in the links it tries to retrieve among market capitalization value and …

Persistent link: https://www.econbiz.de/10012622988

The network of firms implied by the news

Schwenkler, Gustavo; Zheng, Hannan - 2020

We show that the news is a rich source of data on distressed firm links that drive firm- level and aggregate risks. The news tends to report about links in which a less popular firm is distressed and may contaminate a more popular firm. This constitutes a contagion channel that yields...

Persistent link: https://www.econbiz.de/10012653445

Predictable economic surprises: strategic forecasts and their impact across asset classes

Félix, Luiz; Kräussl, Roman; Stork, Philip - 2020

Professional forecasters of economic data are remunerated based on accuracy and positive publicity generated for their firms. This remuneration structure incentivizes them to stick to the consensus but also to make bold forecasts when they perceive to have private information. We find that bold...

Persistent link: https://www.econbiz.de/10012520341