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Forecasting exchange rates : an investor perspective
Melvin, Michael; Prins, John; Shand, Duncan - 2013
perspective, a particular approach to quantitative modeling is presented that incorporates return forecasts, a risk model, and a …
Persistent link: https://www.econbiz.de/10009743826
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...
Persistent link: https://www.econbiz.de/10003807908
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Elusive safety : the new geography of capital flows and risk
Alfaro, Laura; Faia, Ester; Judson, Ruth A.; … - 2020
dollar-denominated securities are increasingly inter-mediated by tax havens financial centers (THFC) and by less regulated … funds. These securities are risky and respond to tax rates and prudential regulations, suggesting tax avoidance and … sector and increased with quantitative easing policies. Facts on the privately held securities are rationalized through a …
Persistent link: https://www.econbiz.de/10012210945
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015
unspanned macro risk. …
Persistent link: https://www.econbiz.de/10011346306
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Dynamics of subjective risk premia
Nagel, Stefan; Xu, Zhengyang - 2022
We examine subjective risk premia implied by return expectations of individual investors and professionals for … excess returns suggest that objective risk premia vary countercyclically with business cycle variables and aggregate asset … valuation measures, subjective risk premia extracted from survey data do not comove much with these variables. This lack of …
Persistent link: https://www.econbiz.de/10013176923
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High-dimensional forecasting with known knowns and known unknowns
Pesaran, M. Hashem; Smith, Ron - 2024
Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecasting. We consider selecting variables from a known active set, known knowns, using Lasso and OCMT, and approximating...
Persistent link: https://www.econbiz.de/10014469011
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Cash flow duration and the term structure of equity returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10011521939
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Corporate debt and stock returns : evidence from U.S. firms during the 2020 oil crash
Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022
This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...
Persistent link: https://www.econbiz.de/10013205096
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Stock market returns, corporate governance and capital market equilibrium
Parigi, Bruno; Pelizzon, Loriana; Thadden, Ernst-Ludwig von - 2013
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
Persistent link: https://www.econbiz.de/10010212666