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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the ….K. result in quite similar patterns. Defining a “global” variance risk premium, we uncover even stronger predictability and …

Persistent link: https://www.econbiz.de/10013109053

The Cross-Section of Expected Stock Returns : Learning about Distress and Predictability in Heterogeneous Orchards

Buraschi, Andrea - 2010

We study an equilibrium asset pricing model with several Lucas (1978) trees subject to persistent distress events, where the agent has incomplete information about the state of an underlying common factor and learns from the events occurring to each tree. Contrary to similar asset pricing models...

Persistent link: https://www.econbiz.de/10013146624

Value Matters : Predictability of Stock Index Returns

Angelini, Natascia - 2013

momentum component may generate bubbles and crashes in the short and medium run, nevertheless the valuation ratio remains a … precisely, we discuss a discrete time dynamics in which the return growth depends on three components: i) a momentum component …

Persistent link: https://www.econbiz.de/10013091244

Forecasting Stock Returns Under Economic Constraints

Pettenuzzo, Davide - 2014

We propose a new approach to imposing economic constraints on forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two...

Persistent link: https://www.econbiz.de/10013064939

Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks

Tortorice, Daniel L. - 2014

I consider a consumption based asset pricing model where the consumer does not know if shocks to dividends are stationary (temporary) or non-stationary (permanent). The agent uses a Bayesian learning algorithm with a bias towards recent observations to assign probability to each process. While...

Persistent link: https://www.econbiz.de/10013054127

Lasso Selection of Firm-Level Stock Return Predictors : How Many Matter?

Gong, Xin-Yi - 2022

non-zero weight on more characteristics than for five-year horizon. Profitability, customer-momentum, dominate the short …

Persistent link: https://www.econbiz.de/10014236534

Stock Return Predictability in Frequency Domain

Kang, Jie; Jiang, Fuwei; Dai, Zhifeng - 2022

investor sentiment in forecasting market returns. The stock return predictability of our macroeconomic index comes from both …

Persistent link: https://www.econbiz.de/10014238602

Forecasting Stock Returns : Does Switching Between Models Help?

McMillan, David G. - 2009

Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...

Persistent link: https://www.econbiz.de/10013158958

How Much In-Sample Data to Use in Forecasting? Evidence from a Simple Stock Returns Model

McMillan, David G. - 2009

Using a simple and well-established model for predictive power this letter assess how much in-sample data is required to obtain good out-of-sample forecasts. Specifically using the present value predictive model for monthly stock returns we conduct a backward recursive exercise where the...

Persistent link: https://www.econbiz.de/10013159815

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical … norm, but it is likely to be punctuated with episodes of bubbles and crashes. The paper also considers if market … inefficiencies (assuming that they exist) can be exploited for profit. -- market efficiency ; predictability ; heterogeneity of …

Persistent link: https://www.econbiz.de/10003983206