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~isPartOf:"NBER Working Paper"
~person:"Hong, Harrison G."
~subject:"Forecasting model"
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Hong, Harrison G.
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
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2010
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012763325
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Simple Forecasts and Paradigm Shifts
Hong, Harrison G.
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2009
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012767724
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