Search Results - subject:"predictability"

Chinco, Alex; Neuhierl, Andreas; Weber, Michael - In: Journal of financial economics 140 (2021) 1, pp. 101-126

Persistent link: https://www.econbiz.de/10013188625

Improving the predictability of stock returns with global financial cycle and oil price in oil-exporting African countries

Adekoya, Oluwasegun B.; Ogunbowale, Gideon O.; … - In: International economics : a journal published by CEPII … 168 (2021), pp. 166-181

Persistent link: https://www.econbiz.de/10013193467

Under-reaction in the sovereign CDS market

Wang, Xinjie; Xiao, Yaqing; Yan, Hongjun; Zhang, Jinfan - In: Journal of banking & finance 130 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013164867

Puzzling exchange rate dynamics and delayed portfolio adjustment

Bacchetta, Philippe; Van Wincoop, Eric - In: Journal of international economics 131 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10013167845

Predicting the equity market with option implied variables

Prokopczuk, Marcel; Tharann, Björn; Wese Simen, Chardin - 2017

We comprehensively analyze the predictive power of several option implied variables for monthly S & P 500 excess returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and realized variance. This is true both in- and out-of-sample....

Persistent link: https://www.econbiz.de/10011776724

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Persistent link: https://www.econbiz.de/10011776725

Common Cycles in Volatility and Cross Section of Stock Returns

Barunik, Jozef; Kraicova, Lucie - 2017

We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of the volatility time series provides us with new insights...

Persistent link: https://www.econbiz.de/10011787308

Baidu index and predictability of Chinese stock returns

Shen, Dehua; Zhang, Yongjie; Xiong, Xiong; Zhang, Wei - In: Financial Innovation 3 (2017) 4, pp. 1-8

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the … complement the existing literature on the predictability of Chinese stock returns and have potential implications for asset …

Persistent link: https://www.econbiz.de/10011808241

Predictors and portfolios over the life cycle: Skill vs. luck

Kraft, Holger; Munk, Claus; Weiss, Farina - 2017

In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we disentangle the … welfare effects of skill and luck. Skilled investors are able to take advantage of all sources of predictability, whereas … unskilled investors ignore predictability. Lucky investors enter the market at a favorable time. For an unskilled investor the …

Persistent link: https://www.econbiz.de/10012064290

Residential Investment and Recession Predictability

Aastveit, Knut Are; Anundsen, André K.; Herstad, Eyo I. - 2017

We assess the importance of residential investment in predicting economic recessions for an unbalanced panel of 12 OECD countries over the period 1960Q1-2014Q4. Our approach is to estimate various probit models with different leading indicators and evaluate their relative prediction accuracy...

Persistent link: https://www.econbiz.de/10012143923