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Industry Return Predictability : A Machine Learning Approach
Rapach, David - 2019
-producing industries exhibit widespread predictive ability, consistent withthe gradual diffusion of information across economically linked … industries. Out-of-sample industry return forecasts that incorporate the information in lagged industryreturns are economically …
Persistent link: https://www.econbiz.de/10012900047
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Measuring Investor Sentiment
Zhou, Guofu - 2017
Investor sentiment indicates how far an asset value deviates from its economic fundamentals. In this paper, we review various measures of investor sentiment based on market, survey, and text and media data, respectively. There is ample evidence that sentiment can explain returns on stocks that...
Persistent link: https://www.econbiz.de/10012945833
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Upper Bounds on Return Predictability
Huang, Dashan - 2017
Can the degree of predictability found in the data be explained by existing asset pricing models? We provide two theoretical upper bounds on the R-squares of predictive regressions. Using data on the market and component portfolios, we find that the empirical R-squares are significantly greater...
Persistent link: https://www.econbiz.de/10012973313
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Forecasting Stock Returns in Good and Bad Times : The Role of Market States
Huang, Dashan - 2017
This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...
Persistent link: https://www.econbiz.de/10012974764
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Short Interest and Aggregate Stock Returns
Rapach, David - 2016
We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual r-squared statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility...
Persistent link: https://www.econbiz.de/10013006113
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Firm Characteristics and Expected Stock Returns
Han, Yufeng - 2020
We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...
Persistent link: https://www.econbiz.de/10012852228
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Principal Portfolios : The Multi-Signal Case
He, Songrun; Yuan, Ming; Zhou, Guofu - 2022
In this replication paper, we extend Kelly, Malamud, and Pedersen (2021)'s new asset pricing framework to allow incorporating multiple predictive signals into optimal principal portfolios. Empirically, we find that the multi-signal theory is valuable for combining signals, improving a naive...
Persistent link: https://www.econbiz.de/10014236524
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Forecasting Stock Returns
Rapach, David; Zhou, Guofu - 2023
We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...
Persistent link: https://www.econbiz.de/10014351279
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Forecasting Government Bond Risk Premia Using Technical Indicators
Goh, Jeremy - 2013
-of-sample forecasting power. Moreover, we find that using information from both technical indicators and economic variables increases the …
Persistent link: https://www.econbiz.de/10013092530
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Forecasting the Equity Risk Premium : The Role of Technical Indicators
Neely, Christopher J. - 2014
macroeconomic variables. Furthermore, technical indicators and macroeconomic variables provide complementary information over the …. Consistent with this behavior, we show that combining information from both technical indicators and macroeconomic variables … significantly improves equity risk premium forecasts versus using either type of information alone. Overall, the substantial …
Persistent link: https://www.econbiz.de/10013070222