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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Machine Learning and Return Predictability Across Firms, Time and Portfolios
Baba Yara, Fahiz - 2021
' predictions fail to generalize in a number of important ways, such as predicting time-series variation in returns to the market …
Persistent link: https://www.econbiz.de/10013251782
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Dispersion in Options Investors’ Versus Analysts’ Expectations : Predictive Inference for Stock Returns
Andreou, Panayiotis C. - 2019
We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...
Persistent link: https://www.econbiz.de/10012905055
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Profitability of Portfolio Strategies Based on Analyst Consensus EPS Forecasts
Baule, Rainer - 2020
investment strategies that rely on information in analyst earnings-per-share forecasts and stock prices. Over a time period of …
Persistent link: https://www.econbiz.de/10012856424
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Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach
Chondrogiannis, Ilias; Vivian, Andrew; Wohar, Mark E. - 2022
We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a …
Persistent link: https://www.econbiz.de/10013403620
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Are Monthly Market Returns Predictable?
Keppo, Jussi - 2020
investors use to successfully time the market …
Persistent link: https://www.econbiz.de/10012856623
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Understanding Momentum and Reversals
Kelly, Bryan T. - 2020
future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument … time-varying factor loadings that depend on observable firm characteristics. We show that factor loadings vary … significantly over time, even at short horizons over which the momentum phenomenon operates (one year), and that this variation …
Persistent link: https://www.econbiz.de/10012832984
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Return Predictability in Santiago Stock Exchange : An Empirical Analysis Using Portfolio Method
Elias, Carlos - 2017
This paper provides a comprehensive analysis on stock return predictability in Santiago Stock Exchange from January 2007 to January 2016 by employing portfolio method. In the risk-related predictors, we found no statistically significant predictive power of beta, total volatility, and...
Persistent link: https://www.econbiz.de/10012959108
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014322889
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Financial Machine Learning
Kelly, Bryan T.; Xiu, Dacheng - 2023
We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...
Persistent link: https://www.econbiz.de/10014349505