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Mind the (convergence) gap : bond predictability strikes back!
Berardi, Andrea; Markovich, Michael; Plazzi, Alberto; … - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7888-7911
Persistent link: https://www.econbiz.de/10012815790
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Perpetual learning and stock return predictability
Zhu, Xiaoneng - In: Economics letters 121 (2013) 1, pp. 19-22
Persistent link: https://www.econbiz.de/10010187124
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Stock index return forecasting : the information of the constituents
Cai, Charlie X.; Kyaw, Khine; Zhang, Qi - In: Economics letters 116 (2012) 1, pp. 72-74
Persistent link: https://www.econbiz.de/10009632769
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Forecasting value-at-risk using high-frequency information
Huang, Huiyu; Lee, Tae-hwy - In: Econometrics : open access journal 1 (2013) 1, pp. 127-140
frequency information into one model. We consider subsample averaging, bootstrap averaging, forecast averaging methods for the … the averaging methods (subsample averaging, bootstrap averaging, forecast averaging), which serve as different ways of …
Persistent link: https://www.econbiz.de/10009776365
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Nonlinearity in forecasting of high-frequency stock returns
Reboredo, Juan Carlos; Matías, José M.; … - In: Computational economics 40 (2012) 3, pp. 245-264
Persistent link: https://www.econbiz.de/10010219501
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Stock Returns Forecasting via Machine Learning with Average Windows Forecasts
Ho, Tsung-Wu; LIN, Ya-chi - 2022
Stock returns predictability has been a long-standing topic in the literature on financial economics. Developments in prediction technology have facilitated the wide use of machine learning techniques, which motivates our study of whether stock returns predictability can be improved using...
Persistent link: https://www.econbiz.de/10013313206
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Management Forecasting Ability and Predictive Ability of Dividend Changes for Future Earnings
Chang, Hsihui; Ishida, Souhei; Kochiyama, Takuma - 2021
-forecasting ability managers. Our findings support the signaling theory of dividend changes and indicate that management forecasting …
Persistent link: https://www.econbiz.de/10013322005
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Can the variance after-effect distort stock returns?
Berrada, Tony - 2021
construct a proxy of the adjustment factor using the sequence of dispersion of analysts earnings forecast. We provide empirical …
Persistent link: https://www.econbiz.de/10012487731
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Earnings information, arbitrage constraints, and the forecast dispersion anomaly
Kim, Soonho; Na, Haejung - In: Finance research letters 35 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012439091
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Efficient Prediction of Excess Returns
Faust, Jon - 2008
not observed at the time that the forecast is made--but can nonetheless improve forecasting accuracy by reducing parameter … of forecasting excess bond and equity returns. We find substantial improvements in out-of-sample forecast accuracy for …
Persistent link: https://www.econbiz.de/10012464478