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Factors or fantasies? : An analysis of stock returns by industry

Green, Christopher J. (contributor) - 1997

Persistent link: https://www.econbiz.de/10000960687

Comparing the market risk premia forecasts in JSE and NYSE equity markets

Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks … paper is the inclusion of the South African market risk premium to the forecasting exercise and its direct comparison with … US forecasting results. The market risk premium is defined as the expected rate of return on the market portfolio in …

Persistent link: https://www.econbiz.de/10011454082

Efficiency of heterogeneity measures : an asset pricing perspective

Qin, Lu; Zhu, Hongquan - In: China finance review international 5 (2015) 4, pp. 371-385

Persistent link: https://www.econbiz.de/10011391759

Good-specific habit formation and the cross-section of expected returns

Binsbergen, Jules H. van - In: The journal of finance : the journal of the American … 71 (2016) 4, pp. 1699-1732

Persistent link: https://www.econbiz.de/10011588944

A forecast evaluation of expected equity return measures

Chin, Michael; Polk, Christopher - 2015

Persistent link: https://www.econbiz.de/10010497568

Do industry returns predict the stock market? : A reprise using the random forest

Ciner, Cetin - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 152-158

Persistent link: https://www.econbiz.de/10012176169

Ex-ante equity risk premia : expectational estimates using stock market returns forecasts in the emerging equity market

Naumoski, Aleksandar; Nestorovski, Metodija - In: Panoeconomicus 65 (2018) 4, pp. 479-507

Persistent link: https://www.econbiz.de/10012154829

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the …

Persistent link: https://www.econbiz.de/10012163064

Uncovering expected returns : information in analyst coverage proxies

Lee, Charles M. C.; So, Eric - In: Journal of financial economics 124 (2017) 2, pp. 331-348

Persistent link: https://www.econbiz.de/10011751448

Mechanical earnings forecasts and characteristic-based models for expected stock returns

Meuter, Martin - In: Three essays on the performance of earnings forecasts …, (pp. 38-67). 2018

Persistent link: https://www.econbiz.de/10011887237