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Predictive Regressions
Stambaugh, Robert F. - 2010
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012763765
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 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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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10013082768
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A Revealed Preference Ranking of U.S. Colleges and Universities
Avery, Christopher; Glickman, Mark E.; Hoxby, Caroline M.; … - 2006
We show how to construct a ranking of U.S. undergraduate programs based on students' revealed preferences. We construct examples of national and regional rankings, using hand-collected data on 3,240 high-achieving students. Our statistical model extends models used for ranking players in...
Persistent link: https://www.econbiz.de/10014069303
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Dividend Dynamics, Learning, and Expected Stock Index Returns
Jagannathan, Ravi - 2015
We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample,...
Persistent link: https://www.econbiz.de/10013015544
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An Improved Method to Predict Assignment of Stocks into Russell Indexes
Ben-David, Itzhak - 2019
A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...
Persistent link: https://www.econbiz.de/10012861213
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Markov Forecasting Methods for Welfare Caseloads
Grogger, Jeffrey - 2005
Forecasting welfare caseloads, particularly turning points, has become more important than ever. Since welfare reform …
Persistent link: https://www.econbiz.de/10012784213
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Can the Markov Switching Model Forecast Exchange Rates?
Engel, Charles M. - 2022
A Markov-switching model is fit for eighteen exchange rates at quarterly and monthly frequencies. This model fits well in-sample at the quarterly frequency for many exchange rates. By the mean-squared-error or mean-absolute-error criterion. the Markov model does not generate superior forecasts...
Persistent link: https://www.econbiz.de/10014157583
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Asymmetric Volatility and Risk in Equity Markets
Bekaert, Geert - 2006
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the...
Persistent link: https://www.econbiz.de/10012783965
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 2009
prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow ….S. monthly and daily data in the period 1926-88, the asymmetric model fits the data better than the standard GARCH model …, accounting for almost half the skewness and excess kurtosis of standard monthly GARCH residuals. Estimated volatility discounts …
Persistent link: https://www.econbiz.de/10012767711