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Stock Return Predictability and the Adaptive Markets Hypothesis : Evidence from Century Long U.S. Data

Kim, Jae H. - 2010

We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence … that time-varying return predictability is driven by changing market conditions, consistent with the implications of the … adaptive markets hypothesis. During market crashes, no return predictability is observed, but an extreme degree of uncertainty …

Persistent link: https://www.econbiz.de/10013148621

Forecasting US Stock Returns

McMillan, David G. - 2018

We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of statistical and economic evaluation measures. We...

Persistent link: https://www.econbiz.de/10012909692

Bitcoin prices and the realized volatility of US sectoral stock returns

Bouri, Elie; Salisu, Afees A.; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10013270159

International Stock Return Predictability : The Role of U.S. Volatility Risk

Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022

predictability is particularly strong when the U.S. volatility spillover intensity is high or international equity markets are more …

Persistent link: https://www.econbiz.de/10014236052

Machine learning for US cross-industry return predictability under information uncertainty

Awijen, Haithem; Zaied, Younes Ben; Ben Lahouel, Bechir; … - In: Research in international business and finance 64 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014279809

Does the U.S. president affect the stock market?

Montone, Maurizio - In: Journal of financial markets 61 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013540524

Forecasting crash risk in U.S. bank returns : the role of credit booms

Mihai, Marius M.; Mansur, Iqbal - In: The journal of corporate finance : contracting, … 76 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013494275

Does US infectious disease equity market volatility index predict G7 stock returns? : evidence beyond symmetry

Gohar, Raheel; Salman, Asma; Uche, Emmanuel; Derindag, … - In: Annals of financial economics 18 (2023) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10014442587

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134

Persistent link: https://www.econbiz.de/10011480379

Nonparametric long term prediction of stock returns with generated bond yields

Scholz, Michael; Sperlich, Stefan; Nielsen, Jens Perch - In: Insurance / Mathematics & economics 69 (2016), pp. 82-96

Persistent link: https://www.econbiz.de/10011530926