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Higher realized moments and stock return predictability
Rehman, Seema; Sharif, Saqib; Ullah, Wali - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 48-70
Persistent link: https://www.econbiz.de/10012587115
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Climate Change Exposure and Stock Return Predictability
Xu, Jiangmin; Sun, Cheng; You, Yihui - 2021
.6% per month. Moreover, we document that our return predictability strengthens under severe physical climate conditions, and …
Persistent link: https://www.econbiz.de/10013248340
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Stock return predictability : evidence from moving averages of trading volume
Ma, Yao; Yang, Baochen; Su, Yunpeng - In: Pacific-Basin finance journal 65 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10013252827
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Aggregate distress risk and equity returns
Guo, Hui; Jiang, Xiaowen - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257367
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Dividend sentiment, catering incentives, and return predictability
Kumar, Alok; Lei, Zicheng; Zhang, Chendi - In: The journal of corporate finance : contracting, … 72 (2022), pp. 1-26
Persistent link: https://www.econbiz.de/10013209801
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A timing momentum strategy
Lin, Chaonan; Yang, Nien-Tzu; Chou, Robin K.; Ko, Kuan-Cheng - In: Accounting and finance 62 (2022), pp. 1339-1379
Persistent link: https://www.econbiz.de/10013187792
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Do Decomposed Financial Ratios Predict Stock Returns and Fundamentals Better?
Jiang, Xiaoquan - 2010
We investigate the prediction of excess returns and fundamentals by financial ratios – dividend-price ratio, earnings-price ratio, and book-to-market ratio – by decomposing financial ratios into a cyclical component and a stochastic trend component. We find both components predict excess...
Persistent link: https://www.econbiz.de/10013149104
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Predictability of return in Pakistan stock market through the application of the threshold quantile autoregressive models
Rasheed, Muhammad Haroon; Gul, Faid; Hashmi, Aijaz Mustafa - In: Iranian economic review : journal of University of Tehran 25 (2021) 4, pp. 815-828
Persistent link: https://www.econbiz.de/10012806683
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770
Persistent link: https://www.econbiz.de/10012483180
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Short-term exuberance and long-term stability : a simultaneous optimization of stock return predictions for short and long horizons
Kyriakou, Ioannis; Mousavi, Parastoo; Nielsen, Jens Perch; … - 2020
Persistent link: https://www.econbiz.de/10012422367