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Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?
Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10003727414
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Challenges of Indexation in S&P 500 Index Volatility Investment Strategies
Sundberg, Margaret - 2019
S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a differentiated asset-class with relevance to the long-term...
Persistent link: https://www.econbiz.de/10012865881
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Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach
Chondrogiannis, Ilias; Vivian, Andrew; Wohar, Mark E. - 2022
We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...
Persistent link: https://www.econbiz.de/10013403620
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Explaining Epps Effect When Bivariate Price Staleness Is Present
Zhu, Haibin; Liu, Zhi - 2022
realized covariation of semi-martingale. In this study, we establish a unified result for the limiting theory of the realized …. Moreover, we provide a new asymptotic theory for realized covariation by considering the bivariate price staleness processes … between assets. A Monte Carlo study verifies the proposed theory, and an analysis of real high-frequency data is proposed for …
Persistent link: https://www.econbiz.de/10013404859
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Implementing the Fama-French Five-Factor Model for the German Stock Market
Dirkx, Philipp - 2018
comparison with the three factor model, the five factor model does not add significant explanatory power to the analysis. We …
Persistent link: https://www.econbiz.de/10012906585
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Recursive Portfolio Selection with Decision Trees
Andriyashin, Anton - 2017
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10012966264
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Recursive portfolio selection with decision trees
Andriyashin, Anton (contributor);  … - 2008
A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...
Persistent link: https://www.econbiz.de/10003636039
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The Cross-Section of German Stock Returns : New Data and New Evidence
Artmann, Sabine - 2010
test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …
Persistent link: https://www.econbiz.de/10013139690