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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Forecasting the density of asset returns
Ñíguez, Trino-Manuel; Perote, Javier - 2004
Persistent link: https://www.econbiz.de/10002458714
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Can extreme returns predict thecross-section of expected returns in theBrazilian market?
Marques, Naielly Lopes; Klotzle, Marcelo Cabus; Pinto, … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10013257698
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Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …
Persistent link: https://www.econbiz.de/10012163064
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Stock Prices and Bond Yields : Can Their Comovements Be Explained in Terms of Present Value Models?
Shiller, Robert J. - 2009
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...
Persistent link: https://www.econbiz.de/10012767717
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Stock Prices and Bond Yields : Can Their Comovements Be Explained in Terms of Present Value Models?
Shiller, Robert J. - 1990
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...
Persistent link: https://www.econbiz.de/10012475563
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Four centuries of return predictability
Golez, Benjamin; Koudijs, Peter - 2017 - This version: January 30, 2017
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10011870101
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10012457852
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Four Centuries of Return Predictability
Golez, Benjamin - 2015
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10013031015
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Detrending Persistent Predictors for Forecasting Stock Returns
Boucher, Christophe - 2011
Researchers in finance very often rely on highly persistent – nearly integrated – explanatory variables to predict returns. However, statistical inference in predictive regressions depends critically upon the stochastic properties of the posited explanatory variable, and in particular, of...
Persistent link: https://www.econbiz.de/10013125373