Time-Series Return Predictability
The predictability of rate of return measures
... Change in Cash Flow Per Share [CFPS] at Time t+l Divided by CFPS at Time t: OLS Time Series Findings: Parameter Estimates [a and PJ and t-Ratios, Adjusted R2 Statistics, Durbin[r] ...
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Understanding stock return predictability
... of time-series stock return predictability in three ...over time and the average IV move closely along with the variance of the discount rate ...
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Upper bounds on return predictability
... To calculate the R 2 upper bounds, we need the consumption growth rate which is one of the state variables in the consumption-based asset pricing models. Following common practice, we compute it as the percentage change ...
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Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks
... in my model, convergence to the true model is ensured. Consequently, I adapt the standard Bayesian learning model to overweight recent observations is a way analogous to constant gain learning in the least squares ...
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Stock Return Predictability and Oil Prices
... of predictability is only an intermediate step that enables the authors to fulfill the first requisite needed for the existence of a conditional asset pricing model, or in other words, that the equity risk premium ...
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Information demand and stock return predictability
... daily time-series of SVI in a consistent ...a series that is properly scaled at the levels, which preserves all the information contained in the variable, with the added bonus of not losing any ...
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Information demand and stock return predictability
... daily time-series of SVI in a consistent ...a series that is properly scaled at the levels, which preserves all the information contained in the variable, with the added bonus of not losing any ...
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Efficient Tests of Stock Return Predictability
... To be concrete, suppose the log dividend-price ratio is used to predict returns. Even if we were to know on prior grounds that the dividend-price ratio is stationary, a time-series plot (more formally, a ...
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Oil Price Shocks and Stock Return Predictability
... the predictability evidence further by using industry level ...returns series are available in all markets; series that are not available have been marked with a dash in the ...the time ...
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Robust Econometric Inference for Stock Return Predictability
... in the main body of the study. The autoregressive roots of d/p, d/y, e/p, lty and b/m are remarkably close to unity, while tbl, d/e and dfy also exhibit autoregressive roots greater than 0.9, demonstrating the very high ...
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Essays on Return Predictability and Term Structure Modelling
... over time and thus, the forecast performance does not deteriorate due to structural ...a time-series of posterior predictive model probabilities, which are used when averaging across the 2 K − 1 ...
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Return predictability and its implications for portfolio selection
... Leitch and Tanner (1991) find that compared with conventional measures such as mean squared errors, this tick loss is more closely related to the possibility of making economic profits from return forecasts. Table ...
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Dynamic asset allocation with ambiguous return predictability
... stock return and the predictive variable measures the ability of the stock to hedge time variation in investment ...three series of posterior probabilities all trend downward over time, ...
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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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The effect of liquidity and time-lag on ETF discounts and ETF return predictability
... ETF return/discount relation development by ...and time-lag/ETF discount relation are not ...The time difference between the ETF market and its NAV market cannot either explain the change in the ETF ...
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The limits to stock return predictability
... Viceira 2002, Cochrane, 2008a). Since a declining variance ratio is a univariate property it cannot co-exist with returns being completely unpredictable from their own past, although we show that there is no necessary ...
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Predictability of geomagnetic series
... the predictability contained in geomag- netic data using unusually long series, which allow for a firm statistical ...the predictability of the ...alert time, to questions concerning costs and ...
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Short-Sale Strategies and Return Predictability
... These studies use monthly stock-specific short interest data. These data are disclosed by exchanges around the middle of each month and consist of the number of shares sold short (a stock variable) at a particular point ...
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