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Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
Guidolin, Massimo - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10013136656
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Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2010
We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...
Persistent link: https://www.econbiz.de/10014190297
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The decline in asset return predictability and macroeconomic volatility
Hsu, Alex; Palomino, Francisco; Qian, Charles - 2017
We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …
Persistent link: https://www.econbiz.de/10011709322
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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Implied volatility and the cross section of stock returns in the UK
Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286
Persistent link: https://www.econbiz.de/10012135913
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Bond Return Predictability : Economic Value and Links to the Macroeconomy
Gargano, Antonio - 2017
accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …
Persistent link: https://www.econbiz.de/10012972962
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Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks
Tortorice, Daniel L. - 2014
volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …
Persistent link: https://www.econbiz.de/10013054127
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Forecasting excess stock returns with crude oil market data
Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324
Persistent link: https://www.econbiz.de/10011533825
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Mutual fund flows, expected returns, and the real economy
Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...
Persistent link: https://www.econbiz.de/10008902922