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Herding States and the Predictability of Stock Market Returns

Costa, Filipe; Fortuna, Natércia; Lobão, Júlio - 2022

intense herding state are 0.26% lower per month over a six-month holding period than following an adverse herding state. Our … results are robust to using risk-adjusted returns and a continuous herding variable. Intense herding emerges during periods of … lower returns and higher volatility than adverse herding …

Persistent link: https://www.econbiz.de/10014238536

Forecasting methods for safeguarding ASEAN-5 stock exchanges during extreme volatility

Chukiat Chaiboonsri; Prasert Chaitip - In: International journal of trade and global markets 10 (2017) 1, pp. 123-130

Persistent link: https://www.econbiz.de/10011722940

Can we predict stock market crashes?

Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195

Persistent link: https://www.econbiz.de/10011509826

The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Persistent link: https://www.econbiz.de/10011556115

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sébastien; Ziemba, William T. - In: International journal of forecasting 31 (2015) 2, pp. 399-425

Persistent link: https://www.econbiz.de/10011474134

Non Predictable Stock Market Declines

Ziemba, William T. - 2016

I have used four measures that have had considerable success in predicting stock market declines of ten percent or more and average twenty-five percent. Other declines of 5-15% seem to be hard to predict ex ante, while some can be explained ex post. In this paper, I focus on six of the latter...

Persistent link: https://www.econbiz.de/10013000628