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Persistence of investor sentiment and market mispricing
Han, Xiao; Sakkas, Nikolaos; Danbolt, Jo; Eshraghi, Arman - In: The financial review : the official publication of the … 57 (2022) 3, pp. 617-640
Persistent link: https://www.econbiz.de/10013348725
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COVID-19 and instability of stock market performance : evidence from the U.S.
Hong, Hui; Bian, Zhicun; Lee, Chien-chiang - In: Financial innovation : FIN 7 (2021), pp. 1-18
. This paper examines the relationship between COVID‑19 and the instability of both stock return predictability and price … results highlight a single break in return predictability and price volatility of both S&P 500 and DJIA. The timing of the … members before COVID‑19 crashed the market. Furthermore, return predictability and price volatility significantly increased …
Persistent link: https://www.econbiz.de/10012494993
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Where have the profits gone? : market efficiency and the disappearing equity anomalies in country and industry returns
Zaremba, Adam; Umutlu, Mehmet; Maydybura, Alina - In: Journal of banking & finance 121 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012521610
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2017
Persistent link: https://www.econbiz.de/10011817412
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Bond variance risk premia
Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012
Persistent link: https://www.econbiz.de/10009552228
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Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis
Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296
Persistent link: https://www.econbiz.de/10011657223
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A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns
Huang, Yisu; Ma, Feng; Bouri, Elie; Huang, Dengshi - In: International review of financial analysis 87 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014460616
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The existence and source of stock return predictability : evidence from dividend, output and consumption ratios
McMillan, David G.; Black, Angela J.; Klinkowska, Olga; … - In: The journal of asset management 16 (2015) 3, pp. 186-208
Persistent link: https://www.econbiz.de/10011413295
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Stock return predictability : using the cyclical component of the price ratio
McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242
Persistent link: https://www.econbiz.de/10012135904
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423