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Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz T. - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10013056713
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Predictive Regressions under Arbitrary Persistence and Stock Return Predictability
Borup, Daniel; Christensen, Bent Jesper; Ergemen, Yunus Emre - 2021
standard inference from least-squares estimation of a suitably adjusted predictive regression. We analyze US and international … present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five …
Persistent link: https://www.econbiz.de/10013238244
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Real-Time Bayesian Learning and Bond Return Predictability
Fulop, Andras; Li, Junye; WAN, Runqing - 2019
The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real-time Bayesian investor who learns about parameters, hidden states, and predictive models over time. We find some statistical evidence using information contained in forward rates. However,...
Persistent link: https://www.econbiz.de/10014120968
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Return and Dividend Expectations in the Cross-Section of Prices
Douglas, Reed - 2022
I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...
Persistent link: https://www.econbiz.de/10014236440
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Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices
Bali, Turan G. - 2020
We introduce a new approach to predicting market returns using the cross-section of earnings and book values to explain current stock prices and extract aggregate expected returns. The proposed measure is countercyclical; it portends a significant fraction of the time-series variation in stock...
Persistent link: https://www.econbiz.de/10012853998
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The Cross-section of Long-run Expected Stock Returns
Geertsema, Paul; Lu, Helen - 2021
Abstract We predict cumulative stock returns over horizons from 1 month to 10 years using a tree-based machine learning approach. Cumulative stock returns are significantly predictable in the cross-section over all horizons. A hedge portfolio generates 250 bp/month at a 1 year horizon and 110...
Persistent link: https://www.econbiz.de/10013244991
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Network Risk and Cross-Section of Expected Stock Returns
Chen, Yi-An - 2015
Current empirical asset pricing research on idiosyncratic volatility (IVOL), negatively related to cross-sectional expected returns, fails to take explicit account of risk that results from a shock to a network of economically related stocks. These stocks move together, and are therefore...
Persistent link: https://www.econbiz.de/10013027208
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014
has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …
Persistent link: https://www.econbiz.de/10010259626
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …
Persistent link: https://www.econbiz.de/10011505854