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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
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'Deja Vol' Revisited : Survey Forecasts of Macroeconomic Variables Predict Volatility in the Cross-Section of Industry Portfolios
Conrad, Christian - 2018
We investigate the question whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve's Survey of Professional Forecasters predict volatility...
Persistent link: https://www.econbiz.de/10012917967
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The economic value of business cycle forecasts for potential investors : evidence from Germany
Döpke, Jörg; Müller, Karsten; Tegtmeier, Lars - In: Research in international business and finance 46 (2018), pp. 445-461
Persistent link: https://www.econbiz.de/10011983697
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High‐dimensional macroeconomic forecasting and variable selection via penalized regression : editor's choice
Uematsu, Yoshimasa; Tanaka, Shinya - In: The econometrics journal 22 (2019) 1, pp. 34-56
Persistent link: https://www.econbiz.de/10012166649
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Using survey data to forecast real activity with evolutionary algorithms : a cross-country analysis
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: Journal of applied economics 20 (2017) 2, pp. 329-349
Persistent link: https://www.econbiz.de/10011950622
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Forecasting Credit Portfolio Risk
Hamerle, Alfred - 2016
Persistent link: https://www.econbiz.de/10012989343
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Follow the smart money : factor forecasting in China
Chen, Qinhua; Chi, Yeguang; Qiao, Xiao - In: Pacific-Basin finance journal 62 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012491727
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Credit spreads as predictors of real-time economic activity : a Bayesian model-averaging approach
Faust, Jon; Gilchrist, Simon; Wright, Jonathan H.; … - 2011
Persistent link: https://www.econbiz.de/10008839764
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Credit spreads as predictors of real-time economic activity : a Bayesian model-averaging approach
Faust, Jon; Gilchrist, Simon; Wright, Jonathan H.; … - 2012
Persistent link: https://www.econbiz.de/10009715491
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Credit spreads as predictors of real-time economic activity : a Bayesian model-averaging approach
Faust, Jon; Gilchrist, Simon; Wright, Jonathan H.; … - In: The review of economics and statistics 95 (2013) 5, pp. 1501-1519
Persistent link: https://www.econbiz.de/10010350179