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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - 2021
We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...
Persistent link: https://www.econbiz.de/10012672178
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Time-Disaggregated Dividend-Price Ratio and Dividend Growth Predictability in Large Equity Markets
Asimakopoulos, Panagiotis - 2016
Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In … with within-year seasonality. We reduce the effect of price volatility on the dividend-price ratio by applying a simple … smoothing technique, and we identify the component of the smoothed dividend-price ratio that offers predictive power. An …
Persistent link: https://www.econbiz.de/10013006710
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Predicting Stock Returns : Historical Mean vs. Dividend Yield
McMillan, David G. - 2015
This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft …-year rolling window we compare forecasts from the dividend yield model to those from the historical mean model across forecast … magnitude, sign and investment metrics. Results show that in each case the dividend yield model provides superior forecasts …
Persistent link: https://www.econbiz.de/10013012956
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That Is Not My Dog : Why Doesn't the Log Dividend-Price Ratio Seem to Predict Future Log Returns or Log Dividend Growths?
Dybvig, Philip H.; Zhang, Huacheng - 2021
Campbell and Shiller’s “accounting identity” implies that the log dividend-price ratio (LDPR) predicts either returns … or dividend growths, but neither is significantly predictable, a well-known puzzle. Existence of the long-term mean LDPR … therefore the long-term mean does not exist. However, the identity works well in our sample. The dividend growths (but not …
Persistent link: https://www.econbiz.de/10013223114
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Changes in the Composition of Publicly Traded Firms : Implications for the Dividend-Price Ratio and Return Predictability
Jank, Stephan - 2014
-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend–price ratio for such … changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio …
Persistent link: https://www.econbiz.de/10013065653
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coe fficient Model
Banerjee, Anurag Narayan - 2017
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10012973901
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
Banerjee, Anurag Narayan - 2013
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10013076483
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Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can; Martin, Ian - 2021
happy to hold the market. The lower bound was unusually high in the late 1990s, reflecting dividend growth expectations that …
Persistent link: https://www.econbiz.de/10012489383