Similar Search Results

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

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …

Persistent link: https://www.econbiz.de/10012470566

Decision Fatigue and Heuristic Analyst Forecasts

Hirshleifer, David - 2018

firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by … issuing a rounded forecast. Finally, we find that the stock market understands these effects and discounts for analyst …

Persistent link: https://www.econbiz.de/10012453421

Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole

Ferreira, Miguel A. - 2008

We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...

Persistent link: https://www.econbiz.de/10012464077

Valuation Ratios and the Long-Run Stock Market Outlook : An Update

Campbell, John Y. - 2001

The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...

Persistent link: https://www.econbiz.de/10012470503

Changing Times, Changing Values : A Historical Analysis of Sectors within the US Stock Market 1872-2013

Bunn, Oliver D. - 2014

We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...

Persistent link: https://www.econbiz.de/10012458297

Relative Prices, Employment, and the Exchange Rate in an Economy with Foresight

Obstfeld, Maurice - 1981

This paper studies the effects of monetary policy in a small, open economy with a floating exchange rate, sticky wages, and rational expectations in both the asset and labor markets. The model developed emphasizes the link between exchange-rate depreciation and nominal wage inflation, embodying...

Persistent link: https://www.econbiz.de/10012478433

Forecasting the U.S. Dollar in the 21st Century

Engel, Charles; Wu, Steve Pak Yeung - National Bureau of Economic Research - 2021

correlation may arise when other persistent variables are used to forecast changes in the exchange rate. We find, in fact, using …

Persistent link: https://www.econbiz.de/10012482663

Patterns in Exchange Rate Forecasts for 25 Currencies

Chinn, Menzie - 1991

We investigate the properties of exchange rate forecasts with a data set encompassing a broad cross section of currencies. The key finding is that expectations appear to be biased in our sample. This result is robust to the possibility of random measurement error in the survey measures....

Persistent link: https://www.econbiz.de/10012475189

Labor Income and Predictable Stock Returns

Santos, Tano - 2001

We propose and test a novel economic mechanism that generates stock return predictability on both the time series and the cross section. In our model, investors' income has two sources, wages and dividends, that grow stochastically over time. As a consequence, the fraction of total income...

Persistent link: https://www.econbiz.de/10012470415

1
2
3
4
5
6
7
8
9
10
Next
Last