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Predicting Returns and Rent Growth in the Housing Market Using the Rent-to-Price Ratio : Evidence from the OECD Countries
Engsted, Tom - 2015
We conduct a comprehensive international study of predictability in housing markets using the rent-price ratio as a predictive variable. On data from 18 OECD countries we generally find return predictability in accordance with time-varying risk-premia, but we also document two puzzles. First,...
Persistent link: https://www.econbiz.de/10013036157
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Superstar returns
Osswald do Amaral, Francisco; Dohmen, Martin; Kohl, … - 2021
We study long-term returns on residential real estate in twenty-seven "superstar" cities in fifteen countries over 150 years. We find that total returns in superstar cities are close to 100 basis points lower per year than in the rest of the country. House prices tend to grow faster in the...
Persistent link: https://www.econbiz.de/10012797899
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Superstar returns
Osswald do Amaral, Francisco; Dohmen, Martin; Kohl, … - 2021
We study long-term returns on residential real estate in 27 "superstar" cities in 15 countries over 150 years. We find that total returns in superstar cities are close to 100 basis points lower per year than in the rest of the country. House prices tend to grow faster in the superstars, but rent...
Persistent link: https://www.econbiz.de/10012799478
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Value Matters : Predictability of Stock Index Returns
Angelini, Natascia - 2013
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which...
Persistent link: https://www.econbiz.de/10013091244
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Meeting Analyst Forecasts and Stock Returns
Mirciov, Ioan - 2010
Firms whose quarterly earning announcements closely meet the most recent analyst consensus forecast enjoy higher long …
Persistent link: https://www.econbiz.de/10013150256
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Forecasting Excess Returns of the Gold Market : Can We Learn from Stock Market Predictions?
Dichtl, Hubert - 2017
As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast … prediction techniques leads to better forecasts of gold excess returns. The forecast power of fundamental predictor variables is … not only highly regime-dependent, but also dependent on the selected economic evaluation criterion. Future gold forecast …
Persistent link: https://www.econbiz.de/10012951544
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Learning and Forecasts about Option Returns through the Volatility Risk Premium
Bernales, Alejandro - 2019
We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP) for option returns. In the model, a representative agent follows a rational Bayesian learning process in an economy under incomplete information with the objective of pricing...
Persistent link: https://www.econbiz.de/10012892623
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Do Futures Premiums Predict Commodity Producer Returns?
Wang, Qiao - 2020
We derive stock returns for firms producing nonrenewable commodities by employing the investment-based asset pricing approach. By identifying the appropriate time-varying discount rate the investment-based approach allows an alternative test of the Hotelling Valuation Principle. The empirical...
Persistent link: https://www.econbiz.de/10012826901
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The Predictive Power of Tail Risk Premia on Individual Stock Returns
Chow, Victor - 2020
This paper introduces a novel, option-free methodology to calculate the tail risk premium for individual stocks, and examines the characteristics of this premium in the cross section of stock returns. The existence of a premium for bearing negative tail risk is significantly associated with...
Persistent link: https://www.econbiz.de/10012852702
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Cash-Flow or Return Predictability at Long Horizons? The Case of Earnings Yield
Maio, Paulo F. - 2020
We examine the predictive ability of the aggregate earnings yield for market returns and earnings growth by estimating variance decompositions at multiple horizons. Based on weighted long-horizon regressions, we find that most of the variation in the earnings yield is due to return...
Persistent link: https://www.econbiz.de/10012857172