Showing 1 - 6 of 6
In this paper, we analyze the economic value of predicting stock index returns as well as volatility. On the basis of simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from 1954 to...
Persistent link: https://www.econbiz.de/10005288661
We present an analysis of the performance of the DAX, German's major stock market index, over the last two years. Our analysis is broader than conventional benchmark approaches because we study the properties of all feasible portfolios, i.e. portfolios composed given the same investment...
Persistent link: https://www.econbiz.de/10005256420
Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether...
Persistent link: https://www.econbiz.de/10005256428
We decompose the conditional expected mutual fund return in five parts. Two parts, selectivity and expert market timing, can be attributed to manager skill, and three to variation in market exposure that can be achieved by private investors as well. The dynamic model that we use to estimate the...
Persistent link: https://www.econbiz.de/10005288357
Empirical research has demonstrated that a market orientation has in general a positive effect on organizational performance. The potential benefits of a market orientation have, however, not been realized because academics and practitioners do not yet understand the modus operandi that...
Persistent link: https://www.econbiz.de/10005288380
This paper examines the ability of balanced pension plan managers to successfully time the equity and bond market and select the appropriate assets within these markets. In order to evaluate both market timing abilities in these balanced pension plans, we extend the traditional equity market...
Persistent link: https://www.econbiz.de/10008679881