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Decision Fatigue and Heuristic Analyst Forecasts
Hirshleifer, David A. - 2018
firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by … issuing a rounded forecast. Finally, we find that the stock market understands these effects and discounts for analyst …
Persistent link: https://www.econbiz.de/10012926415
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Four Centuries of Return Predictability
Golez, Benjamin - 2015
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10013031015
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Market Reactions to Tangible and Intangible Information
Daniel, Kent D. - 2010
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012762814
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Valuation Ratios and the Long-Run Stock Market Outlook : An Update
Campbell, John Y. - 2010
The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...
Persistent link: https://www.econbiz.de/10012763169
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Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole
Ferreira, Miguel A. - 2009
We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...
Persistent link: https://www.econbiz.de/10012765583
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Changing Times, Changing Values : A Historical Analysis of Sectors within the Us Stock Market 1872-2013
Bunn, Oliver - 2014
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...
Persistent link: https://www.econbiz.de/10013049370
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Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?
Bali, Turan G. - 2013
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...
Persistent link: https://www.econbiz.de/10013075854
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora...
Persistent link: https://www.econbiz.de/10013082768
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Forecasting the Cost of U.S. Health Care in 2040
Fogel, Robert W. - 2010
One of the most important debates among health economists in rich nations is whether advances in biotechnology will spare their health care systems from a financial crisis. We must consider that prevalence rates of chronic diseases declined during the twentieth century and that this rate of...
Persistent link: https://www.econbiz.de/10012758331
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Efficient Prediction of Excess Returns
Faust, Jon - 2010
--they are not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing … standard examples of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast …
Persistent link: https://www.econbiz.de/10012758593