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Overconfident Investors, Predictable Returns, and Excessive Trading
Daniel, Kent D. - 2016
Individuals and asset managers trade aggressively, resulting in high volume in asset markets, even when such trading results in high risk and low net returns. Asset prices display patterns of predictability that are difficult to reconcile with rational expectations–based theories of price...
Persistent link: https://www.econbiz.de/10012999987
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Forecasting Output and Inflation : The Role of Asset Prices
Stock, James H.; Watson, Mark W. - 2022
This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output growth. We first review the large literature on this topic, focusing on the past dozen years. We then undertake an empirical analysis of quarterly data on up to 38 candidate...
Persistent link: https://www.econbiz.de/10013322105
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Predictable Financial Crises
Greenwood, Robin M.; Hanson, Samuel Gregory; Shleifer, … - 2022
Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with about a 40%...
Persistent link: https://www.econbiz.de/10013294960
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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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Can Exchange Rates Forecast Commodity Prices?
Chen, Yu-Chin - 2010
We show that quot;commodity currencyquot; exchange rates have remarkably robust power in predicting global commodity prices, both in-sample and out-of-sample, and against a variety of alternative benchmarks. This result is of particular interest to policymakers, given the lack of deep forward...
Persistent link: https://www.econbiz.de/10012759436
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Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
Clark, Todd E. - 2007
Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the …
Persistent link: https://www.econbiz.de/10012778361
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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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Improving GDP Measurement : a Forecast Combination Perspective
Aruoba, S. Borağan - 2011
widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then …
Persistent link: https://www.econbiz.de/10013120293
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A Cautionary Note on Using Industry Affiliation to Predict Income
Pischke, Jörn-Steffen - 2012
Many literatures investigate the causal impact of income on economic outcomes, for example in the context of intergenerational transmission or well-being and health. Some studies have proposed to use employer wage differentials and in particular industry affiliation as an instrument for income....
Persistent link: https://www.econbiz.de/10013100586
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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