Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10001212394
Persistent link: https://www.econbiz.de/10011921514
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
Persistent link: https://www.econbiz.de/10014471827
Using a large number of predictors and based on an extended iterated combination approach of Lin, Wu, and Zhou (2017), we document both statistical and economic significance of Treasury bond return predictability. Macroeconomic and aggregate liquidity variables contain predictive information for...
Persistent link: https://www.econbiz.de/10012913992
Persistent link: https://www.econbiz.de/10012796524
We use machine learning tools to analyze industry return predictability based on theinformation in lagged industry returns from across the entire economy. Controlling forpost-selection inference and multiple testing, we nd significant in-sample evidence ofindustry return predictability. Lagged...
Persistent link: https://www.econbiz.de/10012900047
While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables....
Persistent link: https://www.econbiz.de/10013092530
Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting...
Persistent link: https://www.econbiz.de/10013148430