Search Results - subject:"present-value model"

A sustainability transition on the move? Evidence based on the disconnect from market fundamentals

Alessi, Lucia; Hirschbühl, Dominik; Rossi, Alessandro - 2022

-switching augmented version of the present-value model. Using monthly data on the European stock market from 2005 to 2022, our model …

Persistent link: https://www.econbiz.de/10014278471

A sustainability transition on the move? : evidence based on the disconnect from market fundamentals

Alessi, Lucia; Hirschbühl, Dominik; Rossi, Alessandro - 2022

-switching augmented version of the present-value model. Using monthly data on the European stock market from 2005 to 2022, our model …

Persistent link: https://www.econbiz.de/10013358983

Local predictability of stock returns and cash flows

Yu, Deshui; Li, Chen - In: Journal of empirical finance 77 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014578533

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - In: Empirical economics : a quarterly journal of the … 61 (2021) 1, pp. 145-172

Persistent link: https://www.econbiz.de/10012585891

Forecasting dividend growth : the role of adjusted earnings yield

Yu, Deshui; Huang, Difang; Li, Chen; Li, Luyang - In: Economic modelling 120 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014384127

Joint dynamics of stock returns and cash flows : a time-varying present-value framework

Yu, Deshui; Yan, Yayi - In: Financial management : FM 52 (2023) 3, pp. 513-541

Persistent link: https://www.econbiz.de/10014375505

Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887

Currency exchange rate predictability : the new power of Bitcoin prices

Feng, Wenjun; Zhang, Zhengjun - In: Journal of international money and finance 132 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014290854

Sup-ADF-style bubble-detection methods under test

Monschang, Verena; Wilfling, Bernd - In: Empirical Economics 61 (2020) 1, pp. 145-172

In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests for detecting and date-stamping financial bubbles. Our Monte Carlo simulations find that the majority of the sup-ADF-style...

Persistent link: https://www.econbiz.de/10014504230

Sup-ADF-style bubble detection methods under test

Monschang, Verena; Wilfling, Bernd - 2019

In this paper we analyze the performance of supremum augmented Dickey-Fuller (SADF), generalized SADF (GSADF), and backward SADF (BSADF) tests, as introduced by Phillips et al. (International Economic Review 56:1043-1078, 2015) for detecting and date-stamping financial bubbles. In Monte Carlo...

Persistent link: https://www.econbiz.de/10012099130