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Predicting returns with managerial decision variables : is there a small-sample bias?
Baker, Malcolm; Taliaferro, Ryan; Wurgler, Jeffrey - In: The journal of finance : the journal of the American … 61 (2006) 4, pp. 1711-1730
Persistent link: https://www.econbiz.de/10003357787
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Essays on consumption and expected returns
Yogo, Motohiro - 2004
Persistent link: https://www.econbiz.de/10003387664
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Panel data tests of return models with applications to global stock returns
Hjalmarsson, Erik - 2005
Persistent link: https://www.econbiz.de/10003553376
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Understanding spurious regression in financial economics
Deng, Ai - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 122-150
Persistent link: https://www.econbiz.de/10010233602
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Return predictability and intertemporal asset allocation : evidence from a bias-adjusted VAR model
Engsted, Tom; Pedersen, Thomas Q. - In: Journal of empirical finance 19 (2012) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10009615710
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Rationality and momentum in real estate investment forecasts
Papastamos, Dēmētrēs; Muzakēs, Phōtēs; Stevenson, … - 2014
Persistent link: https://www.econbiz.de/10010387939
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Predictive regressions
Stambaugh, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001380256
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Analysts’ Optimism in Earnings Forecasts and Biases in Estimates of Implied Cost of Equity Capital and Long-Run Growth Rate
Ashton, David J. - 2011
Using a value-weighted rather than an equally weighted regression, Easton and Sommers (2007) show that the upward bias … that the impact of any bias attributable to analysts' forecasts can be reduced to a statistically insignificant 0 ….4%. Second, we show that our estimates of the implied equity risk premium after removing the effect of this bias are between 3 …
Persistent link: https://www.econbiz.de/10013128708
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Predictive Regressions
Stambaugh, Robert F. - 1999
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012471691
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Predictive Regressions
Stambaugh, Robert F. - 2010
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012763765