Return predictability (Finance)
Stock Return Predictability: Evaluation based on Prediction Intervals
... Stock return predictability has been an issue of profound importance in empirical ...of-sample predictability of stock return, they rely exclusively on point forecasting ...of ...
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Return predictability and complicated countries : 125 899 research report : a research report presented in partial fulfillment of the requirements for the degree of Master of Finance, Massey University, Albany, Auckland, New Zealand
... animal spirits” (p. 5). In efficient markets, future returns cannot be forecast on the basis of existing information under the efficient market hypothesis (Fama, 1970). Thaler (1999), however, suggests that “market ...
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Investor sentiment and return predictability in agricultural futures markets
... We have shown that large trader sentiments forecast future market movements. It is possible to question what explains return predictability in futures markets. The finance literature postulates that hedger ...
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Shipping Investor Sentiment and International Stock Return Predictability
... Abstract: This appendix contains unreported results discussed in the paper “Shipping Investor Sentiment and International Stock Return Predictability”. The paper includes references to the corresponding ...
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The optimal use of return predictability : an empirical study
... maximum- return strategies are now consistently higher than those of the corresponding minimum-variance ...that return predictability is not just about “timing the business cycle,” but that dynamic ...
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CDS bond basis and bond return predictability
... the return predictability of the residual basis, we apply the seven-factor asset pricing model to 18 triple-sorted bond portfolios, which are constructed based on credit rating (IG and HY), residual basis ...
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Implied Idiosyncratic Volatility and Stock Return Predictability
... This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) for the period ...
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The limits to stock return predictability
... out predictability from some other predictor ...no return predictability at all of any kind (ie, β x = 0) ; others (eg Kim et al, 1991) have concluded that the true variance ratio does not differ ...
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Essays on return predictability : a dissertation submitted in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, Department of Economics and Finance, Massey University
... cross-asset return predictability among three types of assets, namely, the carry trades, the MSCI world equity portfolio and the CRB Raw Industrial Commodity ...
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Stock market efficiency in South Eastern Europe: testing return predictability and presence of calendar effects
... daily return of every trading day in the week is higher than the mean daily return in ...daily return in Wednesday, Thursday and Friday are higher than the mean daily return in ...daily ...
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Shipping Investor Sentiment and International Stock Return Predictability
... Permanent repository link: http://openaccess.city.ac.uk/15620/ Link to published version: http://dx.doi.org/10.1016/j.tre.2016.10.006 Copyright and reuse: City Research Online aims to ma[r] ...
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Pattern recognition techniques and financial analysis : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand
... their return predictability lack the potential to fully reflect the specific aspects of operating business activities; instead they are aggregates and suboptimal and they lead to the problems of limited ...
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Global Variance Risk Premium and Forex Return Predictability
... equity return differentials and model-implied interest rate in complete ...equity return predictor—for forex returns documented in Bekaert and Hodrick (1992), the predictive power of forward premium—a forex ...
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Investigating the Impact of Time-varying Volatility of Macroeconomic Indices on the Predictability of Optimal Stock Portfolio Return in Tehran Stock Exchange
... Adrian and Fronzoni (2005) have adopted the concept of learning in the estimation of beta coefficients. They believe that the traditional OLS ignores previous errors in training investors and this may result in CAPM ...
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5028.pdf
... cyclical return predictability: high future returns when business conditions are weak, and low future returns when business conditions are strong (Campbell and Diebold ...counter-cyclical return ...
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Forecasting stock market returns over multiple time horizons
... the predictability of stock market returns and explain the nature of this return ...market return forecasts over multiple horizons, from days to ...the return is predictable to the extent that ...
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Portfolio efficiency and discount factor bounds with conditioning information: a unified approach
... In this paper, we develop a unified framework for the study of mean-variance efficiency and discount factor bounds in the presence of conditioning information. We extend the framework of Hansen and Richard (1987) to ...
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Overconfident investors, predictable returns, and excessive trading
... in return predictability that are at odds with the efficient markets hypothesis and potentially attributable to ...the return on a ...on return predictability of three types: (1) ...
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The predictability of the “Voyager” accident
... Apart from enhanc- ing conditions due to bottom or current interactions, they seem to arise when a certain, already steep, wave starts bor- rowing energy from the close by companions rea[r] ...
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Predictability of Equity Models
... snooping effect, which deals with the problem arising from the exhaustive use of the same data series, leading the studies to spurious results. Stock models were suggested by Burgess (1999) to investigate the ...
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