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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?

Bali, Turan G. - 2020

We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...

Persistent link: https://www.econbiz.de/10012856755

Can the Information Content of Share Repurchases Improve the Accuracy of Equity Premium Predictions?

Andriosopoulos, Dimitris - 2020

activity. We find that predictability does not improve either in a statistical or in an economically significant sense once …

Persistent link: https://www.econbiz.de/10012857313

Asymmetric Attention and Stock Returns

Cziraki, Peter - 2020

This paper constructs a new measure of attention allocation by local investors relative to nonlocals using aggregate search volume from Google. We first present a conceptual framework in which local investors optimally choose to focus their attention on local stocks when they receive private...

Persistent link: https://www.econbiz.de/10012857468

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - 2021

We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...

Persistent link: https://www.econbiz.de/10012672178

Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework …

Persistent link: https://www.econbiz.de/10012101166

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …

Persistent link: https://www.econbiz.de/10012617667

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Favero, Carlo A. - 2018

Two broad classes of consumption dynamics - long-run risks and rare disasters - have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preference. We show that bounds a-la Gallant, Hansen and Tauchen (1990) that restrict the volatility of the...

Persistent link: https://www.econbiz.de/10012938615

Comovement and return predictability in asset markets : An experiment with two Lucas trees

Noussair, Charles - 2020

-sectional return predictability from the dividend-price ratio. In line with the rational foundations of the model, the model …

Persistent link: https://www.econbiz.de/10012847964

Predicting the Distribution of Stock Returns : Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance

Massacci, Daniele - 2017

A large literature has investigated predictability of the conditional mean of low frequency stock returns by … macroeconomic and financial variables; however, little is known about predictability of the conditional distribution. We look at one …-step-ahead out-of-sample predictability of the conditional distribution of monthly U.S. stock returns in relation to the …

Persistent link: https://www.econbiz.de/10012974425

Predicting Stock Returns : Historical Mean vs. Dividend Yield

McMillan, David G. - 2015

This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft-researched topic there is no consensus answer and yet it remains crucial in our understanding of asset pricing. Using a five-year rolling window we compare forecasts from the...

Persistent link: https://www.econbiz.de/10013012956