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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?
Bali, Turan G. - 2020
fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …
Persistent link: https://www.econbiz.de/10012856755
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The predictive power of Nelson-Siegel factor loadings for the real economy
Han, Yang; Jiao, Anqi; Ma, Jun - In: Journal of empirical finance 64 (2021), pp. 95-127
Persistent link: https://www.econbiz.de/10013259403
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Disagreement in economic forecasts and equity returns : risk or mispricing?
Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341
Persistent link: https://www.econbiz.de/10014362710
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Inferring changing macroeconomic expectations from current financial indicators
Ratcliff, Ryan David - 2005
Persistent link: https://www.econbiz.de/10003909239
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Up and Down : Forecast Revisions, Forecast Dispersion and Momentum
Liao, Yun - 2017
This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...
Persistent link: https://www.econbiz.de/10012955959
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'Deja Vol' Revisited : Survey Forecasts of Macroeconomic Variables Predict Volatility in the Cross-Section of Industry Portfolios
Conrad, Christian - 2018
We investigate the question whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve's Survey of Professional Forecasters predict volatility...
Persistent link: https://www.econbiz.de/10012917967
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Global bond risk premia under falling stars
Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014580460
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Analysts’ Long-Horizon Earnings Forecast Properties and Long-Horizon Macroeconomic Forecast Optimism
Pevzner, Mikhail - 2016
We examine whether the properties of earnings forecasts – bias and dispersion are different across periods when macroeconomic forecasts are optimistic than non-optimistic, and whether this difference in analyst forecast optimism is stronger during recessionary periods. We find that the...
Persistent link: https://www.econbiz.de/10012997264
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Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821
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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …
Persistent link: https://www.econbiz.de/10008797745