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Return Predictability Revisited
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Book Synopsis Return Predictability Revisited by : Ben Jacobsen
Download or read book Return Predictability Revisited written by Ben Jacobsen and published by . This book was released on 2009 with total page 73 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Weak and Semi-strong from Stock Return Predictability, Revisited by : Wayne E. Ferson
Download or read book Weak and Semi-strong from Stock Return Predictability, Revisited written by Wayne E. Ferson and published by . This book was released on 2004 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Weak and Semi-Strong Form Stock Return Predictability Revisited by : Wayne E. Ferson
Download or read book Weak and Semi-Strong Form Stock Return Predictability Revisited written by Wayne E. Ferson and published by . This book was released on with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Weak and Semi-strong Form Stock Return Predictability Revisited by : Wayne E. Ferson
Download or read book Weak and Semi-strong Form Stock Return Predictability Revisited written by Wayne E. Ferson and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Return Predictability, Market Timing and Volatility by : Abhay Abhyankar
Download or read book Return Predictability, Market Timing and Volatility written by Abhay Abhyankar and published by . This book was released on 2002 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Empirical Analysis of Stock Market Return Predictability by : Justus Heuer
Download or read book Empirical Analysis of Stock Market Return Predictability written by Justus Heuer and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Stock Return Predictability: from the Perspective of Term Structure by : Qinke Zhu
Download or read book Stock Return Predictability: from the Perspective of Term Structure written by Qinke Zhu and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Return Predictability by : Julien Penasse
Download or read book Return Predictability written by Julien Penasse and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predictability Revisited by : David Bowen
Download or read book Predictability Revisited written by David Bowen and published by . This book was released on 2013 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests a large sample of UK equity returns from 1965-2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a size effect, in which small equities appear more predictable in the first half of the sample (1965-1985), and mid to large size equities appear more predictable in the second half of the sample (1986-2007).
Book Synopsis A Practitioner's Defense of Return Predictability by : Blair Hull
Download or read book A Practitioner's Defense of Return Predictability written by Blair Hull and published by . This book was released on 2019 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revisiting the issue of return predictability, we show there is substantial predictive power in combining forecasting variables. We apply correlation screening to combine twenty variables that have been proposed in the return predictability literature, and demonstrate forecasting power at a six-month horizon. We illustrate the economic significance of return predictability through a walk-forward simulation, which takes positions in SPY proportional to the model forecast equity risk premium. The simulated strategy yields annual returns more than twice that of the buy-and-hold strategy, with a Sharpe ratio four times as large. To eliminate look-ahead bias, we perform additional simulations including variables only as they are discovered in the literature. Results show similar annual returns and Sharpe ratios. While a market-timing strategy outperforms the market, it is difficult to implement.
Book Synopsis Empirical Studies on Stock Return Predictability by : Jingya Wang
Download or read book Empirical Studies on Stock Return Predictability written by Jingya Wang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Return Predictability by : Jaspreet Singh Sahni
Download or read book Return Predictability written by Jaspreet Singh Sahni and published by . This book was released on 1992 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A New Tight and General Bound on Return Predictability by : Valerio Potì
Download or read book A New Tight and General Bound on Return Predictability written by Valerio Potì and published by . This book was released on 2017 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel upper bound on the predictability of asset returns. This bound is tighter than the bound proposed by Ross (2005) because it takes into account not only the volatility of the pricing kernel but also the correlation between the pricing kernel and trading strategies that exploit predictability. It is also at least as tight as the bound proposed by Huang et al (2017). We apply our bound to study the predictability of returns on currencies of emerging and developed economies from 1994 to 2016. We find evidence of return predictability in excess of the bound, especially for emerging markets currencies. This implies either market inefficiency or, alternatively, that investors either can become very risk-averse or price currencies using a model radically different from the CAPM. In contrast, the evidence of excess-predictability is much weaker under the wider bound proposed by Ross (2005).
Book Synopsis Essays on Return Predictability and Volatility Estimation by : Yuzhao Zhang
Download or read book Essays on Return Predictability and Volatility Estimation written by Yuzhao Zhang and published by . This book was released on 2008 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Return Predictability and Term Structure Modelling by : Sebastian Fux
Download or read book Essays on Return Predictability and Term Structure Modelling written by Sebastian Fux and published by . This book was released on 2014 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Out-of-sample Stock Return Predictability by : Hui Guo
Download or read book On the Out-of-sample Stock Return Predictability written by Hui Guo and published by . This book was released on 2003 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
