Similar Search Results

Revisiting dividend yield dynamics and returns predictability : evidence from a time-varying ESTR model

McMillan, David G. - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 870-883

Persistent link: https://www.econbiz.de/10003873643

Expected idiosyncratic skewness

Boyer, Brian H.; Mitton, Todd; Vorkink, Keith - In: The review of financial studies 23 (2010) 1, pp. 169-202

Persistent link: https://www.econbiz.de/10003941604

On the predictability of Japanese stock returns using dividend yield

Aono, Kohei; Iwaisako, Tokuo - 2009

Persistent link: https://www.econbiz.de/10003941811

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...