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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012774886
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D.; Cho, Dongchul - 2021
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...
Persistent link: https://www.econbiz.de/10013225431
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Lags, Costs, and Shocks : An Equilibrium Model of the Oil Industry
Bornstein, Gideon - 2017
market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility …We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model … of oil prices. Our model predicts a large decline in this volatility …
Persistent link: https://www.econbiz.de/10012955791
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Innovative Originality, Profitability, and Stock Returns
Hirshleifer, David A. - 2017
We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...
Persistent link: https://www.econbiz.de/10012955455
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Growth Expectations, Dividend Yields, and Future Stock Returns
Da, Zhi - 2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10013044614
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Four Centuries of Return Predictability
Golez, Benjamin - 2015
We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for...
Persistent link: https://www.econbiz.de/10013031015
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Levered Returns
Welch, Ivo - 2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012994892
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Momentum Crashes
Daniel, Kent D. - 2015
" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …
Persistent link: https://www.econbiz.de/10013032704
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Robust Bond Risk Premia
Bauer, Michael - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012954916
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On the Relationship between the Conditional Mean and Volatility of Stock Returns : A Latent VAR Approach
Kang, Qiang - 2002
We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study … although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due …
Persistent link: https://www.econbiz.de/10012787157