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Forecasting Stock Returns : Does Switching Between Models Help?

McMillan, David G. - 2009

Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...

Persistent link: https://www.econbiz.de/10013158958

The volatility of daily tug-of-war intensity and stock market returns

Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan - In: Finance research letters 55 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014473224

Modeling the cross section of stock returns : a model pooling approach

O'Doherty, Michael; Savin, N. Eugene; Tiwari, Ashish - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1331-1360

Persistent link: https://www.econbiz.de/10009728905

Modeling the Cross Section of Stock Returns : A Model Pooling Approach

O'Doherty, Michael S. - 2012

Model selection, i.e., the choice of an asset pricing model to the exclusion of competing models, is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of...

Persistent link: https://www.econbiz.de/10013116303

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu - 2009

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain … residual microstructure noise and other measurement errors. Such noise is called “realized volatility error”. As such …

Persistent link: https://www.econbiz.de/10013156240

The use of recursive model selection strategies in forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000147745

Net payout yields and the cross-section of international stock returns

Walkshäusl, Christian - In: The journal of asset management 17 (2016) 1, pp. 57-67

Persistent link: https://www.econbiz.de/10011485136

The Predictability of Aggregate Japanese Stock Returns : Implications of Dividend Yield

Chen, Sichong - 2011

This paper explores the implications of a dividend yield model for predicting aggregate Japanese stock returns using long time-series data from 1949 to 2009. In addition to one-period return tests, we conduct statistical tests based on dividend growth forecasts and long-horizon return forecasts...

Persistent link: https://www.econbiz.de/10013119485

Estimating Beta : Forecast Adjustments and the Impact of Stock Characteristics for a Broad Cross-Section

Hollstein, Fabian - 2019

Researchers and practitioners face many choices when estimating an asset's sensitivities toward risk factors, i.e., betas. Using the entire U.S. stock universe and a sample period of more than 50 years, we find that a historical estimator based on daily return data with an exponential weighting...

Persistent link: https://www.econbiz.de/10012900674

Three Indicators on the Cross Section of Stock Expected Returns

Ren, Ping - 2015

The stock expected returns are positively related to operation performances and negatively related to investment and financing activities, we check the three indicators with significant predictive power in the cross-section of stock returns, across large, medium and small cap stock groups: Net...

Persistent link: https://www.econbiz.de/10013016111

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