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Improving U.S. stock return forecasts : a "fair-value" CAPE approach
Davis, Joseph H.; Aliaga-Díaz, Roger; Ahluwalia, Harshdeep - In: The journal of portfolio management : a publication of … 44 (2017) 3, pp. 43-55
Persistent link: https://www.econbiz.de/10011877612
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Predicting early data revisions to U.S. GDP and the effects of releases on equity markets
Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 389-406
Persistent link: https://www.econbiz.de/10011705949
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Improving U.S. Stock Return Forecasts : A 'Fair-Value' Cape Approach
Davis, Joseph H. - 2017
-of-sample forecast errors by as much as 50%. At present, low real bond yields imply low real earnings yields and an above-average “fair …
Persistent link: https://www.econbiz.de/10012954555
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151
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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
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012180543
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A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns
Huang, Yisu; Ma, Feng; Bouri, Elie; Huang, Dengshi - In: International review of financial analysis 87 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014460616
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - In: International journal of forecasting 39 (2023) 2, pp. 587-605
Persistent link: https://www.econbiz.de/10014465071
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Forecasting US stock market returns by the aggressive stock-selection opportunity
Li, Yan; Liang, Chao; Toan Luu Duc Huynh - In: Finance research letters 50 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014245366
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Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
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Investor confidence and forecastability of US stock market realized volatility : evidence from machine learning
Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian - In: The journal of behavioral finance : a publication of … 24 (2023) 1, pp. 111-122
Persistent link: https://www.econbiz.de/10013547864