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Forecasting Earnings with Predicted, Conditional Probability Density Functions

Hendriock, Mario - 2021

This study provides empirical evidence for the efficacy of deriving firms' earnings forecasts from predictions of the complete, conditional probability density function (pdf). Relative to cross-sectional earnings forecasts based on OLS regressions, improvements of accuracy, bias and measures for...

Persistent link: https://www.econbiz.de/10013216393

Average skewness matters!

Jondeau, Eric; Zhang, Qunzi - 2015

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...

Persistent link: https://www.econbiz.de/10011412455

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

Quantitative Portfolio Selection : Using Density Forecasting to Find Consistent Portfolios

Meade, N. - 2019

development of the Berkowitz statistic, we demonstrate the superior performance of an investment strategy based on consistent …

Persistent link: https://www.econbiz.de/10012864171

Beta dispersion and market timing

Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

Stöckl, Sebastian - 2016

In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2016), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as...

Persistent link: https://www.econbiz.de/10012996822

Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points

Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117

Persistent link: https://www.econbiz.de/10012301329

Cash Position Forecasts and Stock Market Portfolio Returns

Swanson, Zane L. - 2010

cash are favored by investors. The contention is those firms holding cash will have better access to good investment … prospects. This view contradicts the Jensen (1986) free cash flow proposition. This study examines the investment returns of …. Results indicate that firms holding more cash than expected have superior investment returns …

Persistent link: https://www.econbiz.de/10013142726

Inefficiency in Macroeconomic News Forecasts : Effects on Asset Prices and Asset Allocation Rules

Tavares da Luz Soares, João Vasco - 2012

markets. At last, a comparative study of investment decisions and asset allocation rules is also provided, concluding that …

Persistent link: https://www.econbiz.de/10013105672

Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892