Similar Search Results

Assets Returns Volatility and Investment Horizon : The French Case

Bec, Frédérique - 2009

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...

Persistent link: https://www.econbiz.de/10013160520

Inside the Crystal Ball : New Approaches to Predicting the Gasoline Price at the Pump

Baumeister, Christiane - 2016

the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of … greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most …

Persistent link: https://www.econbiz.de/10012996647

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

Persistent link: https://www.econbiz.de/10012756639

Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns

Hoffmann, Mathias - 2021

Small businesses tend to be owned by wealthy households. Such entrepreneur households also own a large share of U.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the equity premium. The paper suggests an entrepreneurial...

Persistent link: https://www.econbiz.de/10013317587

Manipulating Fiscal Forecasts : Evidence from the German States

Kauder, Björn - 2017

We examine whether German state governments manipulated fiscal forecasts before elections. Our data set includes three fiscal measures over the period 1980-2014. The results do not show that electoral motives influenced fiscal forecasts in West German states. By contrast, East German state...

Persistent link: https://www.econbiz.de/10012962666

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal - 2015

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty …

Persistent link: https://www.econbiz.de/10013017623

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10013141185

The Optimal Taxation of Risky Capital Income : The Rate of Return Allowance

Spiritus, Kevin - 2017

We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...

Persistent link: https://www.econbiz.de/10012962987

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …

Persistent link: https://www.econbiz.de/10012955752

The Design of Pension Pay Out Options When the Health Status During Retirement is Uncertain

Kifmann, Mathias - 2021

This paper examines the optimal design of pension plans when the health status during retirement is uncertain. Assuming that the health status affects both life expectancy and the marginal utility of consumption, choice between a lump-sum payment and an annuity can be welfare-enhancing if the...

Persistent link: https://www.econbiz.de/10013316589