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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
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Dividend growth predictability and the price-dividend ratio
Piatti, Ilaria; Trojani, Fabio - 2012 - This version: October 2012
Conventional tests of present-value models over-reject the null of no predictability. In order to better account for the intrinsic probability of detecting predictive relations by chance alone, we develop a new nonparametric Monte Carlo testing method, which does not rely on distributional...
Persistent link: https://www.econbiz.de/10009684124
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Long-Horizon Return Regressions with Historical Volatility and Other Long-Memory Variables
Sizova, Natalia - 2013
The predictability of long-term asset returns increases with the time horizon as estimated in regressions of aggregated-forward returns on aggregated-backward predictive variables. This previously established evidence is consistent with the presence of common slow-moving components that are...
Persistent link: https://www.econbiz.de/10013094461
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Secular Mean Reversion and Long-Run Predictability of the Stock Market
Zakamulin, Valeriy - 2015
Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...
Persistent link: https://www.econbiz.de/10013036031
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Are International Equity Market Returns Predictable?
Chun, Sungju - 2009
The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...
Persistent link: https://www.econbiz.de/10013155218
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The real-time predictive content of asset price bubbles for macro forecasts
Beckers, Benjamin - 2015
price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … the bubbles in the sample. Therefore, the paper suggests a combination approach of different bubble indicators which helps … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then …
Persistent link: https://www.econbiz.de/10011300629
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coe fficient Model
Banerjee, Anurag Narayan - 2017
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10012973901
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
Banerjee, Anurag Narayan - 2013
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10013076483
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Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time
Wątorek, Marcin; Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 3, pp. 49-58
We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...
Persistent link: https://www.econbiz.de/10011616763