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Can the Information Content of Share Repurchases Improve the Accuracy of Equity Premium Predictions?

Andriosopoulos, Dimitris - 2020

We adjust the dividend-price ratio for share repurchases and investigate whether predictive power can be improved when constructing forecasts of UK and French equity premia. Regulations in the two largest European stock markets allow us to employ actual repurchase data in our predictive...

Persistent link: https://www.econbiz.de/10012857313

Does stock market volatility forecast returns : the international evidence

Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001979873

Multi-layer spillovers between volatility and skewness in international stock markets over a century of data : the role of disaster risks

Foglia, Matteo; Plakandaras, Vasilios; Gupta, Rangan; … - 2023

Persistent link: https://www.econbiz.de/10014443110

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Stock return differentials as predictors of exchange rates : an empirical investigation

Ajayi, Richard A. - In: The journal of business and economic studies 3 (1996) 1, pp. 45-52

Persistent link: https://www.econbiz.de/10001201536

Can economic policy uncertainty predict stock returns? : global evidence

Dinh Hoang Bach Phan; Sharma, Susan Sunila; Vuong Thao Tran - In: Journal of international financial markets, … 55 (2018), pp. 134-150

Persistent link: https://www.econbiz.de/10011984121

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - In: Yapı Kredı economic review : quarterly publ. of … 10 (1999) 2, pp. 3-29

Persistent link: https://www.econbiz.de/10001505110

Revisiting dividend yield dynamics and returns predictability : evidence from a time-varying ESTR model

McMillan, David G. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 870-883

Persistent link: https://www.econbiz.de/10003873643

COVID-19 Containment Measures and Expected Stock Volatility : High-Frequency Evidence from Selected Advanced Economies

Acharya, Viral V.; Liu, Yang; Zhao, Yunhui - 2022

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of...

Persistent link: https://www.econbiz.de/10013300017

Should stock market return forecasts be conditioned on politics?

Powell, John Gregory; Qian, Meifen; Shi, Jing; Zhu, Qiaoqiao - In: Australian journal of management 40 (2015) 4, pp. 672-700

Persistent link: https://www.econbiz.de/10011479079