Search Results - subject:"predictability"

Central banks' predictability : an assessment by financial market participants

Hayo, Bernd; Neuenkirch, Matthias - 2016 - This version: 3 April 2016

In this paper, we examine the relationship between market participants' perception of central bank predictability and … and their overall communication skills on the one hand, and market participants' perception of the banks' predictability … contribute to better central bank predictability. This raises doubts about the widely-held notion that implementing ever more …

Persistent link: https://www.econbiz.de/10011447433

Central banks' predictability : an assessment by financial market participants

Hayo, Bernd; Neuenkirch, Matthias - 2016 - This version: 6 April 2016

Persistent link: https://www.econbiz.de/10011447633

Exchange rate predictability and state-of-the-art models

Yeşin, Pınar - 2016

Persistent link: https://www.econbiz.de/10011447767

Equity premium prediction : are economic and technical indicators unstable?

Baetje, Fabian; Menkhoff, Lukas - 2016

We show that technical indicators deliver stable economic value in predicting the U.S. equity premium over the out-of-sample period from 1966 to 2014. Results tentatively improve over time and beat alternatives over a large continuum of sub-periods. By contrast, economic indicators work well...

Persistent link: https://www.econbiz.de/10011436049

Stock return predictability and market integration : the role of global and local information

McMillan, David G. - In: Cogent economics & finance 4 (2016) 1, pp. 1-18

This paper examines the predictability of a range of international stock markets where we allow the presence of both …

Persistent link: https://www.econbiz.de/10011487829

Exchange rate predictability and state-of-the-art models

Yeşin, Pınar - 2016

This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three...

Persistent link: https://www.econbiz.de/10011443648

A three-state Markov model for predicting movements of asset returns of a Nigerian Bank

Raheem, Maruf A.; Ezepue, Patrick Oseloka - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-23

We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in...

Persistent link: https://www.econbiz.de/10011661502

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10011566444

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

return predictors, including tail risk. The predictability results are robust to out-of-sample tests …

Persistent link: https://www.econbiz.de/10011810905

Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models

Xue, Wen-Jun; Zhang, Li-Wen - 2016

Persistent link: https://www.econbiz.de/10011617906