Narrow search
Showing 1 - 10 of 58,493
Cover Image
Forecasting US Stock Returns
McMillan, David G. - 2018
We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate … regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of … statistical and economic evaluation measures. We consider linear and non-linear regressions as well as forecast evaluations over …
Persistent link: https://www.econbiz.de/10012909692
Cover Image
Is the Predictive Value of Analysts' Recommendations in Decline? : New Evidence from the U.S. Stock Market
Park, Sung Jun - 2019
Using 719,830 analyst recommendations from 1994 to 2017, we construct various portfolios based on levels and changes in analyst recommendations and examine how the value of those recommendations in predicting the abnormal stock returns has changed over time. We find that the predictive value of...
Persistent link: https://www.econbiz.de/10012863233
Cover Image
Mispricing Narratives after Social Unrest
Ba, Bocar A.; Ndiaye, Abdoulaye; Rivera, Roman; … - National Bureau of Economic Research - 2024
We study how negative sentiment around an industry impacts beliefs and behaviors, focusing on demands for racial justice after the murder of George Floyd and the salience of the "defund the police" movement. We assess stakeholder beliefs on the impact of protests on the stock prices of...
Persistent link: https://www.econbiz.de/10014635693
Cover Image
The ARCH-in-Mean Dose Work : Out-of-Sample Predictability of US Stock Market
Xie, Haibin - 2015
The predictability of stock market is of great interest to both reseachers and investors. Despite voluminous evidence of in-sample predictability, the out-of-sample predictability of stock returns remains an ongoing debate. In this paper, motivated by both the financial theories and the well...
Persistent link: https://www.econbiz.de/10013029611
Cover Image
Financial Market Reactions to Earnings Announcements and Earnings Forecast Revisions : Evidence from the U.S. and China
Gift, Michael J. - 2010
This paper examines the impact of earnings announcements and earnings forecast revisions on stock returns across …-looking earnings announcement information and forward-looking earnings forecast information on the price of equity shares. We analyze … availability and actual or perceived reliability affect this relationship. We find that forward-looking analyst forecast …
Persistent link: https://www.econbiz.de/10013138780
Cover Image
The World Predictive Power of U.S. Equity Market Skewness
Chen, Jian - 2019
asset pricing model (three-moment CAPM) and intertemporal capital asset pricing model (ICAPM) …
Persistent link: https://www.econbiz.de/10012902203
Cover Image
International Stock Return Predictability : The Role of U.S. Volatility Risk
Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022
This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...
Persistent link: https://www.econbiz.de/10014236052
Cover Image
Forecasting 2011 Using U.S. Precedents : A Simple Analysis of Equity Market Performance
Hall, Thomas W. - 2011
In an effort to provide a set of reasonable expectations for stock market performance during 2011, we present results of two simple econometric exercises. Our starting point is the recent trough of economic activity which took place in June of 2009, according to the NBER. This means 2011...
Persistent link: https://www.econbiz.de/10013130660
Cover Image
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
Cover Image
Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607