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Leverage, excess leverage, and future returns

Caskey, Judson; Hughes, John S.; Liu, Jing - In: Review of accounting studies 17 (2012) 2, pp. 443-471

Persistent link: https://www.econbiz.de/10009573913

Adjusted Long-Term Volatility and Stock Return Predictability

Qiu, Rui; Liu, Jing; Li, Yan - 2022

We design an adjusted long-term volatility (ADJ_LV) indicator by removing the interference information of short-term volatility from the simple long-term volatility indicator to investigate the level of predictive ability that ADJ_LV has for stock returns. In a sample spanning 2000 to 2019 and...

Persistent link: https://www.econbiz.de/10013492042

Estimating the Equity Risk Premium Using Implied Cost of Capital

Ke, Ruihao - 2014

Research on the implied cost of capital (ICC) has found that the equity risk premium is approximately 3%, on average, much lower than estimates based on the mean of historical stock market returns. The validity of such ICC estimates, however, faces both theoretical and empirical challenges. The...

Persistent link: https://www.econbiz.de/10013056006

The change in stock-selection risk and stock market returns

Liu, Jing; He, Qiubei; Li, Yan; Luu Duc Toan Huynh; … - In: International review of financial analysis 85 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014234959

On the relation between expected returns and implied cost of capital

Hughes, John S.; Liu, Jing; Liu, Jun - In: Review of accounting studies 14 (2009) 2/3, pp. 246-259

Persistent link: https://www.econbiz.de/10003900221

Discussion of "On the relation between expected returns and implied cost of capital"

Lambert, Richard A. - In: Review of accounting studies 14 (2009) 2/3, pp. 260-268

Persistent link: https://www.econbiz.de/10003900225

On the relation between predictable market returns and predictable analyst forecast errors

Hughes, John; Liu, Jing; Su, Wei - In: Review of accounting studies 13 (2008) 2/3, pp. 266-291

Persistent link: https://www.econbiz.de/10003744939

Discussion of "On the relation between predictable market returns and predictable analyst forecast errors"

Garvey, Gerald T. - In: Review of accounting studies 13 (2008) 2/3, pp. 292-294

Persistent link: https://www.econbiz.de/10003745335

Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models

Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868

Persistent link: https://www.econbiz.de/10013287870

Long-term adjusted volatility : powerful capability in forecasting stock market returns

Qiu, Rui; Liu, Jing; Li, Yan - In: International review of financial analysis 86 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248427