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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
This paper addresses the role of technical analysis as potential investment tool for individual retail investors by analysing 2,165 daily forecasts on the DAX between 2015 and 2016. My results suggest that technical analysis may generally provide helpful information to retail investors since its...
Persistent link: https://www.econbiz.de/10012921180
Taking the perspective of international asset allocation, this paper tests if predictive regressions conditional on time-series and cross-sectional information can improve forecasts of stock index returns. We use different current price-to-fundamental ratios as predictors and condition the...
Persistent link: https://www.econbiz.de/10012949474
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. In doing so, we assess...
Persistent link: https://www.econbiz.de/10012990178
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
theory for the expectations building mechanism due to the robust finding that in ation expectations are able to explain …
Persistent link: https://www.econbiz.de/10012435503
Persistent link: https://www.econbiz.de/10012991193
Predictions of asset returns and volatilities are heavily discussed and analyzed in the finance research literature. In this paper, we compare linear and nonlinear predictions for stock- and bond index returns and their covariance matrix. We show in-sample and out-of-sample prediction accuracy...
Persistent link: https://www.econbiz.de/10013116144
Persistent link: https://www.econbiz.de/10009490458