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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Review of asset pricing studies 4 (2014) 2, pp. 206-246
Persistent link: https://www.econbiz.de/10010476900
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Bond return predictability : economic value and links to the macroeconomy
Pettenuzzo, Davide; Gargano, Antonio; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010505306
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Financial institution advantage and the optimization of information processing
Keenan, Sean C. - 2015
Persistent link: https://www.econbiz.de/10010495626
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A slowly evolving mean of the price-to-dividend ratio, its economic influences and predictive power for stock returns
Herwartz, Helmut; Rengel, Malte; Fang, Xu - In: An analysis of long-term influences on financial …, (pp. 7-41). 2014
Persistent link: https://www.econbiz.de/10010480408
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Four centuries of return predictability
Golez, Benjamin; Koudijs, Peter - 2014
Persistent link: https://www.econbiz.de/10010481196
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Identifying long-run risks : a Bayesian mixed-frequency approach
Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2014 - This version: June 24, 2014
Persistent link: https://www.econbiz.de/10010484306
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - 2014
Persistent link: https://www.econbiz.de/10010409119
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Identifying long-run risks : a Bayesian mixed-frequency approach
Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2014
Persistent link: https://www.econbiz.de/10010392642
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News versus sentiment : predicting stock returns from news stories
Heston, Steven L.; Sinha, Nitish R. - 2016
This paper uses a dataset of more than 900,000 news stories to test whether news can predict stock returns. We measure sentiment with a proprietary Thomson-Reuters neural network. We find that daily news predicts stock returns for only 1 to 2 days, confirming previous research. Weekly news,...
Persistent link: https://www.econbiz.de/10011500414