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Forecasting of housing stock returns and housing prices

He, Ling T. - In: Journal of Financial Economic Policy 7 (2015) 2, pp. 90-103

Purpose – The purpose of this paper is to create an endurance index of housing investor sentiment and use it to forecast housing stock returns. This study performs not only in-sample and out-of-sample forecasting, like many previous studies did, but also a true forecasting by using all lag...

Persistent link: https://www.econbiz.de/10014866899

Asia’s financial futures

Lin, Jyh‐Hong - In: Foresight 4 (2002) 2, pp. 25-32

In spite of strong economic recovery since 2000, the worst of the financial crisis in Asia may not be over. This article uses a predictive‐cultural‐critical framework to consider possible futures for economic development in the region. In the predictive dimension, the economic outlook for...

Persistent link: https://www.econbiz.de/10014742782

Forecasting the economic impact of new policies

Savio, Nicolas; Nikolopoulos, Konstantinos - In: Foresight 11 (2009) 2, pp. 7-18

Purpose – Once a policy proposed by the European Commission is approved by European Parliament or Council, its implementation strategy is the responsibility of the member states. Often, there will be several parallel strategies shaped by a series of incentives financed by the government and...

Persistent link: https://www.econbiz.de/10014743060

Financial early‐warning models on cross‐holding groups

Lieu, Pang‐Tien; Lin, Ching‐Wen; Yu, Hui‐Fun - In: Industrial Management & Data Systems 108 (2008) 8, pp. 1060-1080

Purpose – This paper primarily uses statistical methods to establish financial early‐warning models that make it possible to predict, in advance, the probability of a company experiencing financial distress. Design/methodology/approach – In its empirical analysis, this is the first study...

Persistent link: https://www.econbiz.de/10014824132

Using analysts’ earnings forecasts for country/industry‐based asset allocation

Forbes, William; Plantinga, Auke - In: Managerial Finance 32 (2006) 4, pp. 317-336

Purpose – This paper seeks to investigate the usefulness of analysts’ earnings forecast revisions in the allocation of …/methodology/approach – The methodolgy is to use monthly consensus I/B/E/S – First Call analysts’ earnings forecasts for companies listed on the … are driven more by common components than earnings forecast revisions, and company specific news reflected by the revision …

Persistent link: https://www.econbiz.de/10014939858

Forecasting one‐day‐ahead VaR and intra‐day realized volatility in the Athens Stock Exchange Market

Angelidis, Timotheos; Degiannakis, Stavros - In: Managerial Finance 34 (2008) 7, pp. 489-497

Purpose – The aim is to evaluate the performance of symmetric and asymmetric ARCH models in forecasting both the one‐day‐ahead Value‐at‐Risk (VaR) and the realized intra‐day volatility of two equity indices in the Athens Stock Exchange. Design/methodology/approach – Two volatility...

Persistent link: https://www.econbiz.de/10014940003

Estimating analyst's forecast accuracy using behavioural measures (Herding) in the United Kingdom

Salamouris, Ioannis S.; Gulnur Muradoglu, Yaz - In: Managerial Finance 36 (2010) 3, pp. 234-256

behaviour impact on the accuracy of analysts' earnings forecasts. Design/methodology/approach – Two alternative measures of … herding behaviour, on analysts' earnings forecasts are proposed. The first measure identifies herding as the tendency of …. Findings – In both measures employed, a positive and significant relation is found between the accuracy of analysts' earnings …

Persistent link: https://www.econbiz.de/10014940098

Do residual earnings price ratios explain cross-sectional variations in stock returns?

Dudney, Donna M.; Jirasakuldech, Benjamas; Zorn, Thomas; … - In: Managerial Finance 41 (2015) 7, pp. 692-713

Purpose – Variations in price/earnings (P/E) ratios are explained in a rational expectations framework by a number of … and data from four sample periods (1996, 2000, 2001, and 2008) to separate the earnings/price (E/P) ratio into two parts …

Persistent link: https://www.econbiz.de/10014941566

Forecasting time-varying daily betas: a new nonlinear approach

Messis, Petros; Zapranis, Achilleas - In: Managerial Finance 42 (2016) 2, pp. 54-73

Purpose – The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return. Design/methodology/approach – Different GARCH models,...

Persistent link: https://www.econbiz.de/10014941669

Bad news bears

Matthew Holzhauer, Hunter; Lu, Xing; W. McLeod, Robert; … - In: Managerial Finance 39 (2013) 12, pp. 1169-1187

Purpose – This study aims to look into how volatility significantly impacts the tracking error for daily-rebalanced leveraged bull and bear ETFs. Design/methodology/approach – Using Morningstar return data and Chicago Board Options Exchange (CBOE) volatility index (VIX) data, the paper...

Persistent link: https://www.econbiz.de/10014941728