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Commodity futures return predictability and intertemporal asset pricing

Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....

Persistent link: https://www.econbiz.de/10012418356

Hedging Bitcoin with conventional assets

Nekhili, Ramzi; Sultan, Jahangir - In: Borsa Istanbul Review 22 (2022) 4, pp. 641-652

, Dow-Jones, Nikkei, S&P 500, Brent, and WTI futures can be effective hedging instruments. We use a wavelet-based dynamic … hedging model to account for heterogeneous investors in the Bitcoin market. For a short-term horizon, soybean futures reduce … are the best for in-sample hedging in a long-term horizon, whereas live cattle futures have the best out …

Persistent link: https://www.econbiz.de/10013334846

The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555

Volatility Risk Premia and Exchange Rate Predictability

Della Corte, Pasquale - 2015

We discover a new currency strategy with highly desirable return and diversification properties, which uses the predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference between expected realized volatility and model-free implied...

Persistent link: https://www.econbiz.de/10013035847

Prognostizierbarkeit von Aktienrenditen : die Ursachen von Bewertungsanomalien am deutschen Aktienmarkt

Garz, Hendrik - 2000

Persistent link: https://www.econbiz.de/10001467539

Labor market imperfections and selective separability in household models : a predictive typology of Mexican Ejidatarios

Sadoulet, Elisabeth; De Janvry, Alain; Benjamin, Catherine - 1996

Persistent link: https://www.econbiz.de/10000946209

Market inefficients, technical trading and neural nets

Baestaens, Dirk J. Emma; Bergh, Willem M. van den; … - 1996

Persistent link: https://www.econbiz.de/10000932209

Imperfect Foresight

Briggs, Jonathan - 2019

We present an explicit framework for horizon based investing that results in superior expected risk adjusted returns and lower turnover. The framework includes a means of empirically determining an expected horizon and its confidence intervals, an alpha model structure linking horizon with the...

Persistent link: https://www.econbiz.de/10012896322

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...

Persistent link: https://www.econbiz.de/10014337024

Predictor imperfection : international evidence

Zhang, Lijie; Li, Yong; Wu, Wenbo - In: Applied economics letters 24 (2017) 13/15, pp. 995-1000

Persistent link: https://www.econbiz.de/10011716518