Stock return predictability: Individual country results
Stock Return Predictability: Is it There?
... that stock returns are predictable, calling for a refocus of the predictability debate in four ...our results suggest that predictability is mainly a short-horizon, not a long-horizon, ...
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Stock Return Predictability: Is it There?
... of predictability patterns observed in ...These results are opposite to the results in a recent study by Campbell (2003), who reports strong long-horizon predictabil- ity for France, Germany and the ...
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Understanding stock return predictability
... Excess Stock Market Returns As a robustness check, we investigate whether realized stock market variance and the average IV at the last quarter of the previous year forecast the excess stock market ...
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The limits to stock return predictability
... key results are in Section 4, where we show how observable univariate properties of returns can restrict the predictive ...of stock returns if there is variance ...
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Stock Return Predictability and Oil Prices
... Stock Return Predictability and Oil Prices Revised: November 2011 ABSTRACT This paper shows that oil price changes, measured as short-term futures returns, are a strong predictor of excess ...
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Information demand and stock return predictability
... evaluation, results are also reported for two different sub-sample periods, one of which spans the pre-crisis period and one that includes the recent financial ...
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Information demand and stock return predictability
... evaluation, results are also reported for two different sub-sample periods, one of which spans the pre-crisis period and one that includes the recent financial ...
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Efficient Tests of Stock Return Predictability
... Another issue that arises with Lewellen’s test is that of power. As discussed in Lewellen (2004) and illustrated in Fig. 3, the test can have poor power when the predictor variable is stationary (i.e., ρ < 1). For ...
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Efficient Tests of Stock Return Predictability
... the results for the sub-sample since ...for predictability using the valuation ratios stems from the fact that the confidence intervals for ρ contain explosive ...
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Stock Return Predictability And Taylor Rules
... Table 5 presents the results of out-of-sample tests for the null of equal predictability between the two models. In this case, the two models are non-nested and the DMW test can be used with standard normal ...
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Credit Conditions and Stock Return Predictability
... Bank lending standards, or the terms in which loans are offered, have been used as a measure of bank loan supply in several papers to study whether banks change their loan supply systematically over the business cycle ...
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Political Risk and Stock Return Predictability
... Figure 3 The results of these regression analyses varied greatly though. Figure 4 is an example of a result with a quite high P-value of 0.65. The regression summarized in Figure 4 was performed on the index data ...
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Oil Price Shocks and Stock Return Predictability
... Table 3 examines the predictability evidence further by using industry level data. Since I have no industry level data available for the MSCI indexes, I use the Datastream ICB industry indexes instead. 5 Not all ...
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Out-of-sample stock return predictability in Australia
... In the sector allocation program with multiple risky portfolios, we allow a mean-variance investor with relative risk aversion parameter 𝛾 to switch amongst 10 sectors based on predicted sector equity premia calculated ...
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Implied idiosyncratic volatility and stock return predictability
... The results can be summarized as ...on stock returns predictability. Second, the results show that implied idiosyncratic volatility is the best predictor among the different volatility ...
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Implied Idiosyncratic Volatility and Stock Return Predictability
... The results can be summarized as ...on stock returns predictability. Second, the results show that implied idiosyncratic volatility is the best predictor among the different volatility ...
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Stock return predictability and stationarity of dividend yield
... It is obvious from Table 6 that the all statistics support the hypothesis of no structural change. Moreover, the adjusted dividend yield has a significant positive effect on stock returns. Table 7 reports the ...
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Robust Econometric Inference for Stock Return Predictability
... 3.3 Predictability tests with annual data 3.3.1 1–period results This subsection presents the results from univariate predictability tests using annual data for each of the 12 employed ...
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Stock Return Predictability with Audit Quality Concept
... Linearity assumption is tested by Curve Fit. The result shows that linear model for fourth hypothesis less than 0.05 for all possible models. These results indicate that the linear is model. Goodness of Fit Model ...
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Subsampling-Based Tests of Stock-Return Predictability
... of stock-return predictability and ap- ply them to ...Simulation results demonstrate that our subsampling-based tests have desirable size and power ...Using stock-market valuation ...
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