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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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Forecasting Profitability
Rosenzweig, Mark R. - 2013
areas of India, and that farmers respond more strongly to the forecast where there is more forecast skill and not at all … when there is no skill. We show, using an IV strategy in which the Indian government forecast of monsoon rainfall serves as … estimated. Using the full rainfall distribution and our profit function estimates, we find that Indian farmers on average under …
Persistent link: https://www.econbiz.de/10013077650
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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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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2002
and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically …
Persistent link: https://www.econbiz.de/10012787458
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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
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Earnings Quality and Stock Returns
Chan, Konan - 2010
An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...
Persistent link: https://www.econbiz.de/10012763145
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Costs of Equity Capital and Model Mispricing
Pastor, Lubos - 2010
Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return...
Persistent link: https://www.econbiz.de/10012763608
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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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External Equity Financing Shocks, Financial Flows, and Asset Prices
Belo, Frederico - 2014
The ability of corporations to raise external equity finance varies with macroeconomic conditions, suggesting that the cost of equity issuance is time-varying. Using cross sectional data on U.S. publicly traded firms, we construct an empirical proxy of an aggregate shock to the cost of equity...
Persistent link: https://www.econbiz.de/10013052506
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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