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Overconfident Forecasts and Active Portfolio Performance
Kemkhadze, Nato - 2014
The paper examines the problem of portfolio selection based on the forecasts of unknown quality in a mean-variance framework. Early work by Treynor and Black (1973) established a relationship between the correlation of forecasts, the number of independent securities available and the Sharpe...
Persistent link: https://www.econbiz.de/10013061761
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What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor - 2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Portfolio Choice with Stochastic Interest Rates and Learning About Stock Return Predictability
Escobar, Marcos - 2014
portfolio. The welfare loss from ignoring learning can be considerable …
Persistent link: https://www.econbiz.de/10013043954
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity … aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the … generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and …
Persistent link: https://www.econbiz.de/10012617667
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Predictability and the cross-section of expected returns : a challenge for asset pricing models
Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...
Persistent link: https://www.econbiz.de/10012271368
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Can Facebook Predict Stock Market Activity?
Karabulut, Yigitcan - 2014
Using a novel and direct measure of investor sentiment, I find that Facebook's Gross National Happiness (GNH) has the ability to predict changes in both daily returns and trading volume in the US stock market. For instance, an increase of one standard deviation in GNH is associated with an...
Persistent link: https://www.econbiz.de/10013067495
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Can Facebook Predict Stock Market Activity?
Karabulut, Yigitcan - 2016
Using a novel and direct measure of investor sentiment, I find that Facebook's Gross National Happiness (GNH) has the ability to predict changes in both daily returns and trading volume in the US stock market. For instance, an increase of one standard deviation in GNH is associated with an...
Persistent link: https://www.econbiz.de/10013008256
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Exchange Rate Predictability and Dynamic Bayesian Learning
Beckmann, Joscha - 2019
This paper considers how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of different vector autoregressive models, the investor is able, each period, to revise past predictive mistakes and learn about...
Persistent link: https://www.econbiz.de/10012897719