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Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach

Chondrogiannis, Ilias; Vivian, Andrew; Wohar, Mark E. - 2022

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...

Persistent link: https://www.econbiz.de/10013403620

Cross-Firm Information Flows and the Predictability of Stock Returns

Scherbina, Anna - 2016

-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of …

Persistent link: https://www.econbiz.de/10013007526

Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Lleo, Sebastien - 2015

In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...

Persistent link: https://www.econbiz.de/10013035325

Stock Return Predictability and Seasonality

Kim, Keunsoo - 2018

dichotomy in the Shiller CAPE ratio has a more reliable predictability than the January barometer. Previous studies report that …

Persistent link: https://www.econbiz.de/10012918931

Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

returns can improve the out-of-sample predictability of loan fees for stocks expected to perform poorly. Loan fee … predictability has implications for future loan demand, suggesting that short sellers are drawn to short stocks with historically … primary channel through which expected returns improve fee predictability …

Persistent link: https://www.econbiz.de/10013491786

Changes in the Composition of Publicly Traded Firms : Implications for the Dividend-Price Ratio and Return Predictability

Jank, Stephan - 2014

changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio … is less persistent, in-sample evidence for predictability is more pronounced, there is greater parameter stability in the … predictive regression (particularly during the 1990s), and there is evidence of out-of-sample predictability …

Persistent link: https://www.econbiz.de/10013065653

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

between competing sources of this return predictability by virtue of a comprehensive set of expectations data, we find that …

Persistent link: https://www.econbiz.de/10003727414

Open Source Cross-Sectional Asset Pricing

Chen, Andrew Y. - 2020

metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1 …

Persistent link: https://www.econbiz.de/10012833630

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to …

Persistent link: https://www.econbiz.de/10013115711