Similar Search Results

Asset-pricing implications of dividend volatility

Li, Yan; Yang, Liyan - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2036-2055

Persistent link: https://www.econbiz.de/10010194838

Predicting market returns using aggregate implied cost of capital

Li, Yan; Ng, David Tat-chee; Swaminathan, Bhaskaran - In: Journal of financial economics 110 (2013) 2, pp. 419-436

Persistent link: https://www.econbiz.de/10010208662

Predicting Market Returns Using Aggregate Implied Cost of Capital

Li, Yan - 2014

Theoretically, the implied cost of capital (ICC) is a good proxy for time-varying expected returns. We find that aggregate ICC strongly predicts future excess market returns at horizons ranging from one month to four years. This predictive power persists even in the presence of popular valuation...

Persistent link: https://www.econbiz.de/10013068413

Forecasting international equity market volatility : a new approach

Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457

Persistent link: https://www.econbiz.de/10013465704

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

The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures

Li, Yan; Luu Duc Toan Huynh; Xu, Yongan; Liang, Hao - In: Energy economics 127 (2023) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014490332

Which types of commodity price information are more useful for predicting US stock market volatility?

Liang, Chao; Ma, Feng; Li, Ziyang; Li, Yan - In: Economic modelling 93 (2020), pp. 642-650

Persistent link: https://www.econbiz.de/10012430321

Which sentiment index is more informative to forecast stock market volatility? : evidence from China

Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437093

Can CBOE gold and silver implied volatility help to forecast gold futures volatility in China? : evidence based on HAR and Ridge regression models

Wei, Yu; Liang, Chao; Li, Yan; Zhang, Xunhui; Wei, Guiwu - In: Finance research letters 35 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012438364

Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information

Liang, Chao; Li, Yan; Ma, Feng; Wei, Yu - In: International review of financial analysis 75 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012804153