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Changes in earnings-price ratios and excess returns : a case of investor over-reaction

Bartholdy, Jan - 1998

Persistent link: https://www.econbiz.de/10000994150

On the out-of-sample predictability of stock market returns

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001971221

Why do analysts continue to provide favorable coverage for seasoned stocks?

Mola, Simona (contributor); Guidolin, Massimo (contributor) - 2006

Persistent link: https://www.econbiz.de/10003740043

Witching Days and Abnormal Profits in the US Stock Market

Caporale, Guglielmo Maria; Plastun, Alex - 2021

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

Persistent link: https://www.econbiz.de/10013323081

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

Persistent link: https://www.econbiz.de/10013250734

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the … standard GARCH specification, the non-linear models generally lead to better forecasts in terms of both smaller forecast errors … and lower biases. In-sample forecast combination regressions are better than those from single Mincer …

Persistent link: https://www.econbiz.de/10011598042