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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

The Value Spread as a Predictor of Returns

Liu, Naiping - 2005

Recent studies have used the value spread to predict aggregate stock returns to construct cash-flow betas that appear to explain the size and value anomalies. We show that two related variables, the book-to-market spread (the book-to-market of value stocks minus that of growth stocks) and the...

Persistent link: https://www.econbiz.de/10012784621

Days to Cover and Stock Returns

Hong, Harrison G. - 2015

The short ratio - shares shorted to shares outstanding - is an oft-used measure of arbitrageurs' opinion about a stock's over-valuation. We show that days-to-cover (DTC), which divides a stock's short ratio by its average daily share turnover, is a more theoretically well-motivated measure...

Persistent link: https://www.econbiz.de/10013022599

Straight Talkers and Vague Talkers : The Effects of Managerial Style in Earnings Conference Calls

Dzieliński, Michał - 2017

Managers conducting earnings conference calls display distinctive styles in their word choice. Some CEOs and CFOs are straight talkers. Others, by contrast, are vague talkers. Vague talkers routinely use qualifying words indicating uncertainty, such as “approximately”, “probably”, or...

Persistent link: https://www.econbiz.de/10012955937

Exporter Dynamics, Firm Size and Growth, and Partial Year Effects

Bernard, Andrew B. - 2014

Two otherwise identical firms that enter the same market in different months, one in January and one in December, will report dramatically different annual sales for the first calendar year of operations. This partial year effect in annual data leads to downward biased observations of the level...

Persistent link: https://www.econbiz.de/10013059763

Fatal Errors : The Mortality Value of Accurate Weather Forecasts

Shrader, Jeffrey; Bakkensen, Laura; Lemoine, Derek - 2023

We provide the first revealed preference estimates of the benefits of routine weather forecasts. The benefits come from how people use advance information to reduce mortality from heat and cold. Theoretically, more accurate forecasts reduce mortality if and only if mortality risk is convex in...

Persistent link: https://www.econbiz.de/10014347542

Assessing Point Forecast Accuracy by Stochastic Error Distance

Diebold, Francis X. - 2016

We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 ("stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, and we show...

Persistent link: https://www.econbiz.de/10012984778

Production Function Estimation and Capital Measurement Error

Collard-Wexler, Allan - 2016

We look into the impact of measurement error in capital on the estimation of production functions. We introduce an … identification scheme and an estimation procedure that jointly deals with measurement error in capital and the standard simultaneity … stock, while conditioning on the part of productivity that is persistent. Our estimation routine nests standard approaches …

Persistent link: https://www.econbiz.de/10012986295

Sample Selection Bias as a Specification Error (with an Application to the Estimation of Labor Supply Functions)

Heckman, James J. - 2021

In this paper, I present a simple characterization of the sample selection bias problem that is also applicable to the conceptually distinct econometric problems that arise from truncated samples and from models with limited dependent variables. The problem of sample selection bias is fit within...

Persistent link: https://www.econbiz.de/10013222664

Should Exact Index Numbers Have Standard Errors? Theory and Application to Asian Growth

Feenstra, Robert C.; Reinsdorf, Marshall B. - 2021

In this paper we derive the standard error of a price index when both prices and tastes or technology are treated as stochastic. Changing tastes or technology are a reason for the weights in the price index to be treated as stochastic, which can interact with the stochastic prices themselves. We...

Persistent link: https://www.econbiz.de/10013228273