Similar Search Results

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 … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

Persistent link: https://www.econbiz.de/10014236052

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10012416151

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...

Persistent link: https://www.econbiz.de/10003961414

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021

Persistent link: https://www.econbiz.de/10012180543

Fama French Factors and US Stock Return Predictability

Panopoulou, Ekaterini - 2011

This paper investigates whether the HML, the SMB along with the short-term reversal, the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more...

Persistent link: https://www.econbiz.de/10013127477

International stock return predictability : on the role of the United States in bad and good times

Siliverstovs, Boriss - 2016

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

Persistent link: https://www.econbiz.de/10011519115

Stock Return Predictability and the Adaptive Markets Hypothesis : Evidence from Century Long U.S. Data

Kim, Jae H. - 2010

We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no...

Persistent link: https://www.econbiz.de/10013148621

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are …

Persistent link: https://www.econbiz.de/10012959469

A New Predictability Pattern in the US Stock Market Returns

Zakamulin, Valeriy - 2022

In this article, we document a new stock market anomaly that seems to have escaped the attention of both investment professionals and academics alike. We find that over more than a century, the monthly market return has been predicted by the monthly market return at lag 5. This predictability is...

Persistent link: https://www.econbiz.de/10013294548