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Heteroeneous forecasters and nonlinear expectation formation in US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...

Persistent link: https://www.econbiz.de/10010479018

Stock market interactions driven by large declines

Ma, Yong; Zhang, Weiguo; Zhang, Zhengjun; Xu, Weidong - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 159-171

Persistent link: https://www.econbiz.de/10010485770

The US zero-coupon yield spread as a predictor of excess daily stock market volatility

Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906

Persistent link: https://www.econbiz.de/10010410398

Can analysts really forecast? : evidence from the Karachi stock exchange

Jamil, Haris Bin; Aurakzai, Aisha Ghazi; Subayyal, Muhammad - In: The Lahore journal of economics 19 (2014) 1, pp. 91-109

Persistent link: https://www.econbiz.de/10010391824

Cross-sectional return predictability in Taiwan Stock Exchange : an empirical investigation

Cakici, Nusret; Topyan, Kudret; Wang, Chia-jane - In: Review of Pacific Basin financial markets and policies 17 (2014) 2, pp. 1-44

Persistent link: https://www.econbiz.de/10010392606

International evidence for return predictability and the implications for long-run covariation of the G7 stock markets

Nitschka, Thomas - In: German economic review 11 (2010) 4, pp. 527-544

Persistent link: https://www.econbiz.de/10008772903

Decomposing the predictive performance of the moving average trading rule of technical analysis : the contribution of linear and non linear dependencies in stock returns

Milionis, Alexandros E.; Papanagiotou, Evangelia - 2011

Persistent link: https://www.econbiz.de/10009387932

Predicting stock volatility using after-hours information : evidence from the NASDAQ actively traded stocks

Chen, Chun-Hung; Yu, Wei-choun; Zivot, Eric - In: International journal of forecasting 28 (2012) 2, pp. 366-383

Persistent link: https://www.econbiz.de/10009581923

Does stock return predictability affect ESO fair value?

León, Julio Carmona, Angel; Vaello-Sebastià, Antoni - In: European journal of operational research : EJOR 223 (2012) 1, pp. 188-202

Persistent link: https://www.econbiz.de/10009613969

Canadian stock market multiples and their predictive content

Deaves, Richard; Miu, Peter; White, C. Barry - In: International review of economics & finance : IREF 17 (2008) 3, pp. 457-466

Persistent link: https://www.econbiz.de/10003749683

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