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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

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

New Forecasts of the Equity Premium

Polk, Christopher; Thompson, Samuel Brodsky; … - 2021

premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We …

Persistent link: https://www.econbiz.de/10013224370

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

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

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

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

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

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

Predictability of Returns and Cash Flows

Koijen, Ralph S. J. - 2010

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries

Persistent link: https://www.econbiz.de/10013134792

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