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Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios
Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164
Persistent link: https://www.econbiz.de/10010422318
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Persistence and predictability in UK house price movements
Schindler, Felix - In: The journal of real estate finance and economics 48 (2014) 1, pp. 132-163
Persistent link: https://www.econbiz.de/10010394079
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Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models
Xue, Wen-Jun; Zhang, Li-Wen - In: Economic modelling 60 (2017), pp. 391-401
Persistent link: https://www.econbiz.de/10011734259
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Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?
Strobel, Marcus; Auer, Benjamin R. - In: International review of economics & finance : IREF 53 (2018), pp. 168-184
Persistent link: https://www.econbiz.de/10011791732
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Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models
Xue, Wen-Jun; Zhang, Li-Wen - 2016
Persistent link: https://www.econbiz.de/10011617906
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Predicting Bank of England's asset purchase decisions with MPC voting records
Neuenkirch, Matthias - 2013
We use MPC voting records to predict changes in the volume of asset purchases. We find, first, that minority voting favoring an increase in the volume of asset purchases raises the probability of an actual increase at the next meeting. Second, minority voting supporting a higher Bank Rate...
Persistent link: https://www.econbiz.de/10010294403
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Between two evils: Investors prefer grand corruption!
Graf Lambsdorff, Johann - 2005
Recent empirical studies claim that, in addition to levels of corruption, investors are deterred by its unpredictability. I claim instead that it is petty corruption that deters investors. I employ seven subcomponents of corruption for a sample of 102 countries that appear in the 2003 Global...
Persistent link: https://www.econbiz.de/10010307900
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An Interactive Space as a Creature: Mechanisms of Agency Attribution and Autotelic Experience
Bernardet, Ulysses; Aleixandri, Jaume Subirats; … - In: International Journal of Virtual and Augmented Reality … 1 (2017) 1, pp. 1-15
puts the predictability of the human-artifact interaction at the center of the attribution of agency and experience of … “flow.” They empirically explored three modes of interaction that differed in the level of predictability of the interactive … space's behavior. The results of the authors' study give support to the notion that there is a sweet spot of predictability …
Persistent link: https://www.econbiz.de/10012048547
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How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...
Persistent link: https://www.econbiz.de/10011310177
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How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - 2014
We explore whether the market variance risk premium (VRP) can be predicted. First, we propose a novel approach to measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather than synthetic S&P 500 variance swap quotes, thus avoiding...
Persistent link: https://www.econbiz.de/10011380986