Return Predictability Revisited
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Author | : Ben Jacobsen |
Publisher | : |
Total Pages | : 73 |
Release | : 2009 |
Genre | : |
ISBN | : |
Monthly stock market returns are predictable when we refine the observation intervals of the variables used to predict these returns. Contrary to other predictability studies we find high out-of-sample adjusted R2s of up to 7% using economically important commodity returns. Shorter intervals reveal predictability consistent with near efficient markets based on price changes in industrial metals. More historical intervals expose predictability consistent with gradual information diffusion based on energy series. This predictability is robust to data mining adjustment, the inclusion of control (including economic) variables, and unrelated to time-varying risk. Inflation explains part of this predictability, but not all.
Author | : Wayne E. Ferson |
Publisher | : |
Total Pages | : 34 |
Release | : 2004 |
Genre | : |
ISBN | : |
Author | : Wayne E. Ferson |
Publisher | : |
Total Pages | : 33 |
Release | : |
Genre | : Electronic book |
ISBN | : |
This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.
Author | : Wayne E. Ferson |
Publisher | : |
Total Pages | : 32 |
Release | : 2005 |
Genre | : Stocks |
ISBN | : |
Author | : Wayne E. Ferson |
Publisher | : |
Total Pages | : 34 |
Release | : 2004 |
Genre | : Portfolio management |
ISBN | : |
This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.
Author | : Abhay Abhyankar |
Publisher | : |
Total Pages | : 40 |
Release | : 2002 |
Genre | : |
ISBN | : |
We revisit the evidence on the economic value of the predictive ability of the short rate for excess stock returns using market timing regressions and seven decades of US market data on aggregate indices, size decile portfolios and industry portfolios. We ask two questions. First, has the economic value of the predictive power of the short rate for stock returns changed over time? Second, can information on return volatility be used to enhance the profitability of market timing strategies? Our main results are as follows: first, we find that the economic value, to a naive investor, of the predictive ability of the short rate is low prior to the 1951 Treasury Accord period, high during the period 1950-1975 and has disappeared in the last two decades. We also find that the short rate has the most predictive ability for the durables industry sector and the smaller size stock portfolios. Second, we find that that market timing strategies are most profitable during periods of intermediate volatility. Our contribution here is to propose a new and simple approach that allows investors to significantly enhance the profitability of market timing strategies by optimally using information both in return and volatility forecasts.Key words: Return predictability; short rate, sign regressions, filter rules, volatility.
Author | : Justus Heuer |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Author | : Robert A. Meyers |
Publisher | : Springer Science & Business Media |
Total Pages | : 919 |
Release | : 2010-11-03 |
Genre | : Business & Economics |
ISBN | : 1441977007 |
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author | : Alex D. Patelis |
Publisher | : |
Total Pages | : 32 |
Release | : 1996 |
Genre | : |
ISBN | : |
Author | : Qinke Zhu |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |