Return predictability based on global risk premiums
Global Variance Risk Premium and Forex Return Predictability
... the global VRP significantly predicts the carry returns with the highest ad- justed R-square, ...the global VRP is significant in predicting the forex returns of two out of the three bilateral currencies ...
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Volatility risk and stock return predictability on global financial crises
... In term of “industry effect”, a few papers have also found that some industry portfolios may be able to lead the stock market (Eleswarapu and Ashish, 1996 and Pollet, 2002). In particular, Pollet (2002) finds that oil ...
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Political Risk and Stock Return Predictability
... 1.0 Introduction Stock prices are influenced by many factors to varying degrees, and this causes their future values to be difficult to predict. One factor which can both directly and indirectly affect the value of ...
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A flow-based explanation for return predictability
... the return comovement pattern within each group of stocks sorted by the ability vari- ...permanent return effect ...little return comovement beyond what is explained by common risk ...
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Essays on Bond Return Predictability and Liquidity Risk
... liquidity premiums tend to be downward sloping with maturity, indicating that the shorter- term liquidity premium is greater than the longer-term, especially during the crisis ...
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Subsampling-Based Tests of Stock-Return Predictability
... stock-return predictability and ap- ply them to ...the risk-free rate as predictors, our univariate tests show that the evidence of predictability is more concentrated in the 1926–1994 ...for ...
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International Volatility Risk and Chinese Stock Return Predictability
... volatility risk proxy, the R 2 OS is still positive but statistically ...forecasts based on ∆VIX produce a substantially smaller MSFE than the historical average ...
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Currency Risk in Global Equity Markets: Determinants, Risk, and Predictability
... country. The breadth of such an approach is costly in terms of presentation, but is useful for gaining depth in understanding the drivers behind any currency alpha found. Therefore, the test-asset construction for the ...
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THINK Global: Risk and return
... The key application of the risk model is the comparison to expected returns. Current market conditions, such as bond yields and ...
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Liquidity risk, return predictability, and hedge funds’ performance: an empirical study
... liquidity risk on the performance of the optimal portfolio strategies for equity hedge ...liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills generate superior ...
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Modeling Risk-based Pension Insurance Premiums
... the global financial crisis, partly due to the Fund’s ability to charge a levy consistent with the risks it faces and its skill in securing stakeholder acceptance of its ...first risk- based pension ...
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Return predictability and state variables in consumption-based CAPMs: International perspectives
... investors’ risk aversion γ = 2 , a, b and c are slope coefficients, and e t k + is the regression residual; both the log surplus consumption ratio scr t and the consumption-wealth ratio cay t are lagged one ...
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Return Predictability and Optimal Portfolio Choice: Evidence from Commodity and Global Futures Markets
... portfolio based on the carry and momentum char- acteristic has an annualized return of ...equivalent return (CE), at which an investor would value the returns series, above that of the risk ...
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Short-Sale Strategies and Return Predictability
... we risk falsely associating past returns with today’s short- selling ...contemporaneous return (r t ) as an explanatory ...trading based on short term overreaction, we also keep the past returns in ...
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Stock Return Predictability And Taylor Rules
... Studying the links between monetary policy and asset prices is important for both the practitioners and policymakers. However, there is a significant disconnection between most empirical research on stock return ...
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Out-of-sample stock return predictability in Australia
... relative risk aversion parameter 𝛾 to switch amongst 10 sectors based on predicted sector equity premia calculated from the combining ...The risk-free rate is each quarter’s prevailing 90 days bank ...
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Stock Return Predictability: Is it There?
... the predictability debate in four ...that predictability is mainly a short-horizon, not a long-horizon, ...strongest predictability comes from the short rate rather than from the dividend ...this ...
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Stock Return Predictability: Is it There?
... In this model, the earnings yield, the dividend yield and the short rate jointly capture any potential predictability, motivating a simple multivariate regression of excess stock returns[r] ...
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Stock Return Predictability: Is it There?
... dictability by dividend yields prior to 1990 may be a statistical fluke. International evidence can help us to sort out these two interpretations of the data and check the robustness of predictability patterns ...
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Stock Return Predictability: Evaluation based on Prediction Intervals
... stock return and the prediction models being considered, we report only a set of selective but representative re- ...stock return, 1-step ahead from 1936:01 to 2014:12 generated with rolling window of ...
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