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Gold Returns
Barro, Robert J. - 2013
From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the … gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly … between gold services and ordinary consumption, the model can generate a mean real rate of price change within the (0.1%, 2 …
Persistent link: https://www.econbiz.de/10012459902
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How and When are High-Frequency Stock Returns Predictable?
Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and …
Persistent link: https://www.econbiz.de/10013362020
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Robust-H-infinity Forecasting and Asset Pricing Anomalies
Tornell, Aaron - 2000
We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...
Persistent link: https://www.econbiz.de/10012470997
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Estimation Risk, Market Efficiency, and the Predictability of Returns
Lewellen, Jonathan - 2000
. Cross-sectionally, expected returns deviate from the CAPM even if investors attempt to hold mean-variance efficient …
Persistent link: https://www.econbiz.de/10012471062
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
investors. The latter finding fits with a number of theories, most notably Blanchard and Watson's (1982) rendition of stock-price …
Persistent link: https://www.econbiz.de/10012471074
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Predictive Regressions
Stambaugh, Robert F. - 1999
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012471691
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10012461911
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Efficient Prediction of Excess Returns
Faust, Jon - 2008
price movements around macroeconomic news announcements. These "surprises" cannot be used directly in forecasting--they are …
Persistent link: https://www.econbiz.de/10012464478
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Reconciling the Return Predictability Evidence
Lettau, Martin - 2006
ratios for such shifts. The forecasting relationship of adjusted price ratios and future returns is statistically significant … out-of-sample performance of unadjusted price ratios that are found in the data. Our conclusions hold for a variety of …
Persistent link: https://www.econbiz.de/10012466559
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Roughing it Up : Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Andersen, Torben G. - 2005
A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in...
Persistent link: https://www.econbiz.de/10012466896