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Intraday Momentum : The First Half-Hour Return Predicts the Last Half-Hour Return

Gao, Lei - 2017

Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...

Persistent link: https://www.econbiz.de/10012972249

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

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

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

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

Forecasting Stock Returns

Rapach, David; Zhou, Guofu - 2023

We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

Persistent link: https://www.econbiz.de/10014351279

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

Taming Momentum Crashes : A Simple Stop-Loss Strategy

Han, Yufeng - 2016

In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...

Persistent link: https://www.econbiz.de/10013006637

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

Anomalies and the Expected Market Return

Dong, Xi - 2020

We provide the first systematic evidence on the link between long-short anomaly portfolio returns—a cornerstone of the cross-sectional literature—and the time-series predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a...

Persistent link: https://www.econbiz.de/10012838515

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