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Persistent link: https://www.econbiz.de/10010459687
Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...
Persistent link: https://www.econbiz.de/10014103309
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast … prediction techniques leads to better forecasts of gold excess returns. The forecast power of fundamental predictor variables is … not only highly regime-dependent, but also dependent on the selected economic evaluation criterion. Future gold forecast …
Persistent link: https://www.econbiz.de/10012951544
We investigate the prediction of excess returns and fundamentals by financial ratios – dividend-price ratio, earnings-price ratio, and book-to-market ratio – by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess...
Persistent link: https://www.econbiz.de/10013149104
-of-sample performance, mbm manages to surpass the simplistic forecast benchmark only at the 10-year horizon by 15% while mdb attains an …
Persistent link: https://www.econbiz.de/10014281276
We study how the quality of investors' information across horizons influences investment. In our theory, managers care …
Persistent link: https://www.econbiz.de/10014236279
Persistent link: https://www.econbiz.de/10014446892
This paper examines the extent to which financial signaling affects the analysts' and managers' forecast releases. The … findings give evidence of heterogeneity of analysts' forecast errors between firms with strong financial indicators (high … group). The paper further indicates that managers' forecast releases also depend on the type of the firm and that managers …
Persistent link: https://www.econbiz.de/10013071999
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549