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A forecast evaluation of expected equity return measures

Chin, Michael; Polk, Christopher - 2015

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

Accounting data, market values, and the cross section of expected returns worldwide

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - 2015

29 international equity markets, with a highly significant average slope coefficient of 1.05. In sharp contrast, standard …

Persistent link: https://www.econbiz.de/10011305235

Four essays on investment

Schröder, David (contributor) - 2008

Persistent link: https://www.econbiz.de/10003783017

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011556115

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the … existence of put and call options which complete the market, and show that the equity premium can be inferred from expected … conclusions: (i) the implied equity premium predicts stock market returns; (ii) the implied equity premium consistently …

Persistent link: https://www.econbiz.de/10013113977

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

The Implied Equity Duration When Discounting and Forecasting Parameters are Industry Specific

Fullana, Olga - 2016

In a seminal paper, Dechow, Sloan and Soliman (2004) develop a price-implied measure for equity duration and for its … should lead to more accurate and useful estimates of their measure. Within this context, we estimate the implied equity … duration but using industry-specific parameters for forecasting and discounting the future cash flows of listed firms as …

Persistent link: https://www.econbiz.de/10013006937

Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination

Fang, Jing - 2019

the intrinsic value of equity is essential to the success of the accounting valuation-based predictor in predicting future …

Persistent link: https://www.econbiz.de/10014103309

Predicting Stock Market Returns Based on the Content of Annual Report Narrative : A New Anomaly

Wisniewski, Tomasz Piotr - 2015

This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is measured and used to forecast future stock returns. We find that two of...

Persistent link: https://www.econbiz.de/10013033070

Learning and Forecasts about Option Returns through the Volatility Risk Premium

Bernales, Alejandro - 2019

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP) for option returns. In the model, a representative agent follows a rational Bayesian learning process in an economy under incomplete information with the objective of pricing...

Persistent link: https://www.econbiz.de/10012892623