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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Equity premium predictions with many predictors : A risk-based explanation of the size and value factors

Stivers, Adam - In: Journal of empirical finance 45 (2018), pp. 126-140

Persistent link: https://www.econbiz.de/10012102421

Extrapolative asset pricing

Li, Kai; Liu, Jun - In: Journal of economic theory 210 (2023), pp. 1-47

Persistent link: https://www.econbiz.de/10014422547

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667

Factor value

Zhang, Shaojun - 2023

Persistent link: https://www.econbiz.de/10014474913

Forecasting the Long-Term Equity Premium for Asset Allocation

Sakkas, Athanasios; Tessaromatis, Nikolaos P. - 2021

Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables, are superior, statistically and economically, from forecasts based on time-series prediction models...

Persistent link: https://www.econbiz.de/10013219482

Chapter 6. Forecasting Stock Returns

Rapach, David; Zhou, Guofu - In: Handbook of Economic Forecasting : volume 2, part A, (pp. 328-383). 2013

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/10014025543

Predictability of Crypto Returns : A Habit-Based Explanation of the Risk Premium

Dunbar, Kwamie; Owusu-Amoako, Johnson - 2022

We evaluated the ability of futures market participants’ hedging decisions to predict changes in cryptocurrency returns based on its influence on risk aversion via the risk premium channel. We document that the hedging factor has a significant effect on measures of risk aversion and financial...

Persistent link: https://www.econbiz.de/10014235920

Forecasting equity risk premium : a new method based on wavelet de-noising

Dai, Zhifeng; Kang, Jie; Yin, Hua - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4331-4352

Persistent link: https://www.econbiz.de/10014429334

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...

Persistent link: https://www.econbiz.de/10014337024