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How much stock return predictability can we expect from an asset pricing model?

Zhou, Guofu - In: Economics letters 108 (2010) 2, pp. 184-186

Persistent link: https://www.econbiz.de/10008699206

On the fundamental law of active portfolio management : what happens if our estimates are wrong?

Zhou, Guofu - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 26-33

Persistent link: https://www.econbiz.de/10003769532

On the fundamental law of active portfolio management : how to make conditional investments unconditionally optimal

Zhou, Guofu - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 12-21

Persistent link: https://www.econbiz.de/10003780569

Option Characteristics as Cross-Sectional Predictors

Neuhierl, Andreas; Tang, Xiaoxiao; Varneskov, Rasmus … - 2021

We provide the first comprehensive analysis of options-implied information for predicting the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that only few option characteristics...

Persistent link: https://www.econbiz.de/10013233640

Out-of-sample equity premium prediction : economic fundamentals vs. moving-average rules

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - 2010

Persistent link: https://www.econbiz.de/10008651185

International stock return predictability : what is the role of the United States?

Rapach, David E.; Strauss, Jack; Zhou, Guofu - In: The journal of finance : the journal of the American … 68 (2013) 4, pp. 1633-1622

Persistent link: https://www.econbiz.de/10009790955

Forecasting the equity risk premium : the role of technical indicators

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791

Persistent link: https://www.econbiz.de/10010399441

Predicting market components out of sample : asset allocation implications

Kong, Aiguo; Rapach, David E.; Strauss, Jack; Zhou, Guofu - In: The journal of portfolio management : a publication of … 37 (2010/11) 4, pp. 29-41

Persistent link: https://www.econbiz.de/10009273895

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

What will the likely range of my wealth be?

Kan, Raymond; Zhou, Guofu - In: Financial analysts' journal : FAJ 65 (2009) 4, pp. 68-77

Persistent link: https://www.econbiz.de/10003867783