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Macroeconomic Volatilities and Long-Run Risks of Asset Prices
Zhou, Guofu - 2014
-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …
Persistent link: https://www.econbiz.de/10013071174
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Firm Characteristics and Expected Stock Returns
Han, Yufeng - 2020
We analyze the joint out-of-sample predictive ability of a comprehensive set of 299 firm characteristics for cross-sectional stock returns. We develop a cross-sectional out-of-sample R2 statistic that provides an informative measure of the accuracy of cross-sectional return forecasts in terms of...
Persistent link: https://www.econbiz.de/10012852228
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Asymmetry in Stock Comovements : An Entropy Approach
Jiang, Lei - 2020
We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we...
Persistent link: https://www.econbiz.de/10012856552
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Asset Pricing : Cross-section Predictability
Zaffaroni, Paolo; Zhou, Guofu - 2022
We provide a short and selected review of the vast literature on cross-section predictability. We focus on the state of art methods used to forecast the cross-section of stock returns with major predictors and are primarily interested in the ideas, methods, and their applications. To understand...
Persistent link: https://www.econbiz.de/10013406495
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Corporate Bond Moments and Predictability of Equity Returns
Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu - 2023
We document that the first and third cross-sectional moments of corporate bond returns significantly and positively predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and gradual diffusion of information. Particularly, the...
Persistent link: https://www.econbiz.de/10014257015
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Manager Sentiment and Stock Returns
Jiang, Fuwei - 2017
This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2 of 9.75% and 8.38%,...
Persistent link: https://www.econbiz.de/10012971010
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Cost Behavior and Stock Returns
Huang, Dashan - 2017
attention, higher idiosyncratic volatility, and higher transaction costs, suggesting that investor underreaction and limits to …
Persistent link: https://www.econbiz.de/10012973043
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Forecasting Stock Returns in Good and Bad Times : The Role of Market States
Huang, Dashan - 2017
This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample...
Persistent link: https://www.econbiz.de/10012974764
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Short Interest and Aggregate Stock Returns
Rapach, David - 2016
We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual r-squared statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility...
Persistent link: https://www.econbiz.de/10013006113
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Investor Attention and Stock Returns
Chen, Jian - 2020
We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...
Persistent link: https://www.econbiz.de/10012852097