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On The Predictability Of Stock Returns In Real Time
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Book Synopsis On the Predictability of Stock Returns in Real Time by : Michael J. Cooper
Download or read book On the Predictability of Stock Returns in Real Time written by Michael J. Cooper and published by . This book was released on 2002 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers have documented an abundance of evidence that stock returns are predictable ex post. We address in this study whether the cross section of stock returns is predictable ex ante. We ask if a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to forecast stock returns during the 1974 to 1997 period. Using a recursive out-of-sample method, we find that the market was difficult to beat in real time. Our findings suggest that the current notion of predictability in the literature is exaggerated.
Book Synopsis Real-Time Macroeconomic Data and Ex Ante Predictability of Stock Returns by : Jörg Döpke
Download or read book Real-Time Macroeconomic Data and Ex Ante Predictability of Stock Returns written by Jörg Döpke and published by . This book was released on 2016 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report results on the ex ante predictability of monthly excess stock returns in.
Book Synopsis Real-time Macroeconomic Data and Ex Ante Predictability of Stock Returns by : Jörg Döpke
Download or read book Real-time Macroeconomic Data and Ex Ante Predictability of Stock Returns written by Jörg Döpke and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Real Stock Returns by : Prasad V. Bidarkota
Download or read book Real Stock Returns written by Prasad V. Bidarkota and published by . This book was released on 1997 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Predictability of Stock Returns by : Shmuel Kandel
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Book Synopsis The Predictability of Stock Returns by : Zhong-guo Zhou
Download or read book The Predictability of Stock Returns written by Zhong-guo Zhou and published by . This book was released on 1993 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913 by : Christian Pierdzioch
Download or read book Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913 written by Christian Pierdzioch and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by Hsien-hsing Liao and published by World Scientific. This book was released on 2003 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real estate finance is a fast-developing area where top quality research is in great demand. In the US, the real estate market is worth about US$4 trillion, and the REITs market about US$200 billion; tens of thousands of real estate professionals are working in this area. The market overseas could be considerably larger, especially in Asia. Given the rapidly growing real estate securities industry, this book fills an important gap in current real estate research and teaching. It is an ideal reference for investment professionals as well as senior MBA and PhD students. Contents: Introduction: Real Estate Analysis in a Dynamic Risk Environment; The Predictability of Returns on Equity REITs and Their Co-Movement with Other Assets; The Predictability of Real Estate Returns and Market Timing; A Time-Varying Risk Analysis of Equity and Real Estate Markets in the US and Japan; Price Reversal, Transaction Costs, and Arbitrage Profits in Real Estate Securities Market; Bank Risk and Real Estate: An Asset Pricing Perspective; Assessing the OC Santa ClausOCO Approach to Asset Allocation: Implications for Commercial Real Estate Investment; The Time-Variation of Risk for Life Insurance Companies; The Return Distributions of Property Shares in Emerging Markets; Conditional Risk Premiums of Asian Real Estate Stocks; Institutional Factors and Real Estate Returns: A Cross-Country Study. Readership: Financial researchers, real estate investors and investment bankers, as well as senior MBA and PhD students."
Book Synopsis Complex Systems in Finance and Econometrics by : Robert A. Meyers
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth by : David G. McMillan
Download or read book Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth written by David G. McMillan and published by . This book was released on 2014 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a state-space model, this paper examines time-variation in the predictive regressions for stock returns, dividend growth and consumption growth. Moreover, we linked time-variation explicitly to movements in economic factors that can account for risk and cash flow. Results support the view that stock return predictability is enhanced when risk is high (negative growth, higher volatility and positive growth/return covariance). In contrast, dividend growth and consumption growth predictability is enhanced during economic expansions. These results are supported by sub-sample analysis and a VAR approach. Furthermore, these latter exercises may uncover differences in the stock return predictability relationship when viewed over different time horizons. Overall, the paper contributes to the literature by highlighting the different nature of returns predictability, which arises largely through the risk channel and dividend and consumption growth predictability, which arise through the cash flow channel.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Three Essays on the Predictability of Stock Returns by : Amit Goyal
Download or read book Three Essays on the Predictability of Stock Returns written by Amit Goyal and published by . This book was released on 2001 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predictability of Stock Returns by : M. Hashem Pesaran
Download or read book Predictability of Stock Returns written by M. Hashem Pesaran and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the robustness of the evidence on predictability of US stock returns, and addresses the issue of whether this predictability could have been historically exploited by investors to earn profits in excess of a buy-and-hold strategy in the market index. We find that the predictive power of various economic factors over stock returns changes through time and tends to vary with the volatility of returns. The degree to which stock returns were predictable seemed quite low during the relatively calm markets in the 1960's, but increased to a level where, net of transaction costs, it could have been exploited by investors in the volatile markets of the 1970's.
Book Synopsis Predictability of Stock Returns by : M. Hashem Pesaran
Download or read book Predictability of Stock Returns written by M. Hashem Pesaran and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Return Predictability with Taylor Rule Fundamentals by : Lei Jiang
Download or read book Stock Return Predictability with Taylor Rule Fundamentals written by Lei Jiang and published by . This book was released on 2015 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates in-sample and out-of-sample stock return predictability with inflation and output gap, the variables that typically enter the Federal Reserve Bank's interest rate setting rule. To examine the role of monetary policy fundamentals for stock return predictability, we introduce inflation and output gap into the Fed model that relates stock returns to earnings and long-term yields. Using real-time data from 1970 to 2008, we find evidence that in-sample and out-of-sample fit is much stronger for the Fed model with Taylor rule fundamentals than for the constant return model and the Fed model that does not include inflation and output gap. In addition to standard mean squared prediction error based out-of sample comparisons, we use entropy-based tests for nonparametric dependence and find evidence of nonparametric dependence of stock returns on Taylor rule fundamentals. Finally, we evaluate economic significance of the stock return models and find that the models with Taylor rule fundamentals produce higher utility gains than either the constant return model or the original Fed model. The findings are robust to the choice of the measure of economic activity, data frequency, and window size.
Book Synopsis On the Predictability of Stock Returns: an Asset-allocation Perpective by : Shmuel Kandel
Download or read book On the Predictability of Stock Returns: an Asset-allocation Perpective written by Shmuel Kandel and published by . This book was released on 1995 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Machine Learning for Asset Management by : Emmanuel Jurczenko
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
