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Do oil futures prices predict stock returns?

Chiang, I-Hsuan Ethan; Hughen, W. Keener - In: Journal of banking & finance 79 (2017), pp. 129-141

Persistent link: https://www.econbiz.de/10011815141

Do Oil Futures Prices Predict Stock Returns?

Chiang, I-Hsuan Ethan - 2017

This paper explores stock return predictability by exploiting the cross-section of oil futures prices. Motivated by the principal component analysis, we find the curvature factor of the oil futures curve predicts monthly stock returns: a 1% per month increase in the curvature factor predicts...

Persistent link: https://www.econbiz.de/10012967736

Modeling the cross-section of stock returns using sensible models in a model pool

Chiang, I-Hsuan Ethan; Liao, Yin; Zhou, Qing - In: Journal of empirical finance 60 (2021), pp. 56-73

Persistent link: https://www.econbiz.de/10012692977

Real exchange rates and currency risk premiums

Balduzzi, Pierluigi; Chiang, I-Hsuan Ethan - In: Review of asset pricing studies : RAPS 10 (2020) 1, pp. 94-121

Persistent link: https://www.econbiz.de/10012167279

The restrictions on predictability implied by rational asset pricing models

Kirby, Chris - In: The review of financial studies 11 (1998) 2, pp. 343-382

Persistent link: https://www.econbiz.de/10001244459

The value premium and expected business conditions

Kirby, Chris - In: Finance research letters 30 (2019), pp. 360-366

Persistent link: https://www.econbiz.de/10012420905

A closer look at the regime-switching evidence of bull and bear markets

Kirby, Chris - In: Finance research letters 52 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014472216

A closer look at the relation between GARCH and stochastic autoregressive volatility

Fleming, Jeff; Kirby, Chris - In: Journal of financial econometrics : official journal of … 1 (2003) 3, pp. 365-419

Persistent link: https://www.econbiz.de/10002214166

Volatility of Volatility, Expected Stock Return and Variance Risk Premium

Wang, Ruoyang - 2015

Theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk premium. We empirically investigate the relationship between volatility of volatility and the equity risk premium, and the relationship between the variance risk premium and the...

Persistent link: https://www.econbiz.de/10013035199