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Warusawitharana, Missaka - Federal Reserve Board (Board of Governors of the … - 2011

The expected return to equity--typically measured as a historical average--is a key variable in the decision making of investors. A recent literature based on analysts forecasts and practitioner surveys finds estimates of expected returns that are sometimes much lower than historical averages....

Persistent link: https://www.econbiz.de/10008872031

How does the market interpret analysts' long-term growth forecasts?

Sharpe, Steven A. - Federal Reserve Board (Board of Governors of the … - 2002

This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation...

Persistent link: https://www.econbiz.de/10005393967

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - Tinbergen Instituut - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10011257503