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Gold Returns
Barro, Robert J. - 2013
From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the … gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly … between gold services and ordinary consumption, the model can generate a mean real rate of price change within the (0.1%, 2 …
Persistent link: https://www.econbiz.de/10013087443
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A Model of Momentum
Liu, Laura Xiaolei - 2011
Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...
Persistent link: https://www.econbiz.de/10013130782
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What is the Chance that the Equity Premium Varies Over Time? Evidence from Regressions on the Dividend-Price Ratio
Wachter, Jessica A. - 2011
uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we …
Persistent link: https://www.econbiz.de/10013121048
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
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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 …
Persistent link: https://www.econbiz.de/10012787458
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Efficient Prediction of Excess Returns
Faust, Jon - 2010
price movements around macroeconomic news announcements. These quot;surprisesquot; cannot be used directly in forecasting …
Persistent link: https://www.econbiz.de/10012758593
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2010
investors. The latter finding fits with a number of theories, most notably Blanchard and Watson's (1982) rendition of stock-price …
Persistent link: https://www.econbiz.de/10012763325
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Predictable Changes in Yields and Forward Rates
Backus, David K. - 2010
simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012763624
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Maximizing Predictability in the Stock and Bond Markets
Lo, Andrew W. - 2010
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...
Persistent link: https://www.econbiz.de/10012763656
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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