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Idiosyncratic Risk and the Cross-Section of Realized Returns : Reconciling the Aggregate Returns’ Predictability Evidence

Mantilla-Garcia, Daniel - 2010

the idiosyncratic variance measure and the market portfolio, leads to robust conclusions on the predictability exercise …

Persistent link: https://www.econbiz.de/10013146647

A Forecast Evaluation of Expected Equity Return Measures

Chin, Michael - 2015

Recent studies find evidence in favour of return predictability, and argue that their positive findings result from …

Persistent link: https://www.econbiz.de/10013030200

Aggregate Earnings, Firm-Level Earnings and Expected Stock Returns

Bali, Turan G. - 2012

This paper provides an analysis of the predictability of stock returns using market, industry, and firm-level earnings … of earnings yield. These results are robust after controlling for book-to-market, size, price momentum and post …

Persistent link: https://www.econbiz.de/10013116939

On the Economic Significance of Stock Return Predictability

Cederburg, Scott - 2019

with stochastic volatility in market returns and predictor variables, we assess the economic value of return predictability …

Persistent link: https://www.econbiz.de/10012872248

Fundamental disagreement about monetary policy and the term structure of interest rates

Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021

Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

Persistent link: https://www.econbiz.de/10012249767

Competition Network and Predictable Industry Returns

Dou, Winston Wei; Wu, Wei - 2023

We document robust industry return predictability through the lens of a competition network, connecting two industries …

Persistent link: https://www.econbiz.de/10014348634

Multi-Faktor-Modell zur Steuerung von Aktienportfolios

Stephan, Thomas G.; Maurer, Raimond - In: Investmentmodelle für das Asset-liability-Modelling …, (pp. 215-225). 2001

Persistent link: https://www.econbiz.de/10001661195

Ein Multi-Faktor-Modell für europäische Aktienportfolois

Stephan, Thomas G.; Dürr, Martin; Maurer, Raimond - In: Investmentmodelle für das Asset-liability-Modelling …, (pp. 227-241). 2001

Persistent link: https://www.econbiz.de/10001661201

Restoring value to minimum variance

Goldberg, Lisa; Leshem, Ran; Geddes, Patrick - In: Journal of investment management : JOIM 12 (2014) 2, pp. 32-39

Persistent link: https://www.econbiz.de/10010388909

Minimum variance portfolios in the German stock market

Bastin, Jan - In: Prague economic papers : a bimonthly journal of … 26 (2017) 1, pp. 103-120

Persistent link: https://www.econbiz.de/10011622178