Similar Search Results

Effects of Index-Fund Investing on Commodity Futures Prices

Hamilton, James D. - 2014

, noting that according to a simple model of futures arbitrage, if index-fund buying influences prices by changing the risk …

Persistent link: https://www.econbiz.de/10012458772

The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto - 2003

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

Persistent link: https://www.econbiz.de/10012469089

Predictable Risk and Returns in Emerging Markets

Harvey, Campbell R. - 1994

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

Persistent link: https://www.econbiz.de/10012474313

Forecasting Natural Gas Prices in Real Time

Baumeister, Christiane; Huber, Florian; Lee, Thomas; … - National Bureau of Economic Research - 2024

This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in their complexity and economic content. Our key finding is that considerable reductions in...

Persistent link: https://www.econbiz.de/10015145107

Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs

González-Casasús, Oriol; Schorfheide, Frank - National Bureau of Economic Research - 2025

of the multi-step forecasting risk and the impulse response estimation risk to determine hyperparameters in settings …

Persistent link: https://www.econbiz.de/10015326468

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 transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Stock Return Predictability : Is it There?

Ang, Andrew - 2001

earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to …

Persistent link: https://www.econbiz.de/10012470517

Economic Tracking Portfolios

Lamont, Owen - 1999

tracking portfolios are useful in forecasting macroeconomic variables and hedging economic risk …

Persistent link: https://www.econbiz.de/10012471746

Earnings and Expected Returns

Lamont, Owen - 1996

The aggregate dividend payout ratio forecasts aggregate excess returns on both stocks and corporate bonds in post-war US data. Both high corporate profits and high stock prices forecast low excess returns on equities. When the payout ratio is high, expected returns are high. The payout ratio's...

Persistent link: https://www.econbiz.de/10012473171

Momentum Strategies

Chan, Louis K. C. - 1995

momentum. Market risk, size and book-to- market effects do not explain the drifts. Security analysts' earnings forecasts also …

Persistent link: https://www.econbiz.de/10012473492