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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/10003985756

A Markov-switching multifractal approach to forecasting realized volatility

Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - 2011

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the...

Persistent link: https://www.econbiz.de/10009314521

Parameter estimation and forecasting for multiplicative lognormal cascades

Leövey, Andrés E.; Lux, Thomas - 2011

We study the well-known multiplicative Lognormal cascade process in which the multiplication of Gaussian and Lognormally distributed random variables yields time series with intermittent bursts of activity. Due to the non-stationarity of this process and the combinatorial nature of such a...

Persistent link: https://www.econbiz.de/10009389845

Return predictability and stock market crashes in a s simple rational expectation model

Franke, Günter (contributor); Lüders, Erik (contributor) - 2006

predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion …. -- Aggregate relative risk aversion ; Equilibrium asset price processes ; Excess Volatility ; Return predictability ; Stock market …

Persistent link: https://www.econbiz.de/10003449928

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

Credit Line Undrawn Spreads and the Predictability of Stock Returns

Gu, Lifeng - 2019

This paper documents a new high risk-low return puzzle. Specfically, we find that a forward-looking risk measure extracted from credit line undrawn spreads negatively predicts borrowers' future stock returns. This negative risk-return relation is separate from previously documented asset pricing...

Persistent link: https://www.econbiz.de/10012900671

Forecasting Stock Returns : A Predictor-Constrained Approach

Pan, Zhiyuan - 2019

We develop a novel method to impose constraints on univariate predictive regressions of stock returns. Unlike the previous approaches in the literature, we implement our constraints directly on the predictor, setting it to zero whenever its value falls below the variable's past 12-month high....

Persistent link: https://www.econbiz.de/10012900845

Why Does the Option to Stock Volume Ratio Predict Stock Returns?

Ge, Li - 2015

We use data on signed option volume to study which components of option volume predict stock returns and resolve the seemingly inconsistent results in the literature. We find no evidence that trades related to synthetic short positions in the underlying stocks contain more information than...

Persistent link: https://www.econbiz.de/10013035029

Expected Stock Returns and Forward Variance

Luo, Xingguo - 2016

Bakshi, Panayotov, and Skoulakis (2011) show that forward variances are predictive of real economic activity and asset returns. In this paper, we study this relation by using CBOE VIX term structure data between January 1992 and August 2009. We find that certain combinations of the 3-, 6-, and...

Persistent link: https://www.econbiz.de/10013008323

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Goncalves-Pinto, Luis - 2019

pressure in the stock. The predictability of stock returns based on this cross- market discrepancy in values is especially …-based stock return predictability …

Persistent link: https://www.econbiz.de/10012903797