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We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...
Persistent link: https://www.econbiz.de/10012971424
We create a market-wide measure of dispersion in options investors' expectations by aggregating across all stocks the dispersion in trading volume across moneynesses (DISP). DISP exhibits strong negative predictive power for future market returns and its information content is not subsumed by...
Persistent link: https://www.econbiz.de/10012905055
large stocks for a holding period of up to six months. The momentum/reversal divide is along the volatility dimension: Large-cap/low-volatility … stocks exhibit reversals while large-cap/high-volatility stocks experience momentum. This new discovery cannot be fully …
Persistent link: https://www.econbiz.de/10013115681
of equity forward prices. Transition probabilities are in the variance gamma class with spot dependent parameters. Markov … skewenss and excess kurtosis with maturity at rates slower than those implied by Lévy processes. Out of sample performance is …
Persistent link: https://www.econbiz.de/10013064149
In this paper we provide new evidence on the predictability of aggregate stock market returns, and new time series of the expected excess returns on common stocks. We extract aggregate discount rate news from equity portfolio returns and use this information to construct estimates of expected...
Persistent link: https://www.econbiz.de/10013128466
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and …
Persistent link: https://www.econbiz.de/10010365211
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and …
Persistent link: https://www.econbiz.de/10010496122
Stock momentum, long-term reversal, and other past return characteristics that predict future returns also predict future realized betas, suggesting these characteristics capture time-varying risk compensation. We formalize this argument with a conditional factor pricing model. Using...
Persistent link: https://www.econbiz.de/10012832984
We introduce a new measure of stock misevaluation, 𝑄, which is consistent with the Gordon growth model for firm valuation. In our empirical application, we use 𝑄 to relate analyst forecasts to stock returns and measure the profitability of investment strategies that rely on information in...
Persistent link: https://www.econbiz.de/10012856424