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Stock Market Crashes in 2007-2009 : Were We Able to Predict Them?

Lleo, Sebastien - 2012

We investigate the stock market crashes in China, Iceland, and the US in the 2007-2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the trailing...

Persistent link: https://www.econbiz.de/10013114443

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Christiansen, Charlotte - 2012

-rich forecast methodology to handle a large set of potential predictors in a Bayesian Model Averaging approach, and, second, we take …

Persistent link: https://www.econbiz.de/10013115338

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Persistent link: https://www.econbiz.de/10013115711

Dividend Predictability around the World

Rangvid, Jesper - 2012

We show that dividend growth predictability by the dividend yield is the rule rather than the exception in global equity markets. Dividend predictability is weaker, however, in large and developed markets where dividends are smoothed more, the typical firm is large, and volatility is lower. Our...

Persistent link: https://www.econbiz.de/10013116339

Dividend Predictability Around the World

Rangvid, Jesper - 2012

Persistent link: https://www.econbiz.de/10013116437

The Predictability of Aggregate Japanese Stock Returns : Implications of Dividend Yield

Chen, Sichong - 2011

This paper explores the implications of a dividend yield model for predicting aggregate Japanese stock returns using long time-series data from 1949 to 2009. In addition to one-period return tests, we conduct statistical tests based on dividend growth forecasts and long-horizon return forecasts...

Persistent link: https://www.econbiz.de/10013119485

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

robust across several dimensions, including: time period, forecast horizon, moneyness, and model specification …

Persistent link: https://www.econbiz.de/10013097543

Forecasting Returns : New European Evidence

Jordan, Steven J. - 2012

evidence that macro and technical predictors can (statistically) improve forecast accuracy and (economically) generate gains to … that simple forecast combinations consistently yield substantial benefits both in forecast accuracy and economic gain. For … other G7 countries. We provide initial evidence on the link between country characteristics and out-of-sample forecast …

Persistent link: https://www.econbiz.de/10013098290

Country News Sentiment Factors Predict Forex Prices

Hafez, Peter - 2013

In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the...

Persistent link: https://www.econbiz.de/10013081446

Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator

Simmons-Süer, Banu - 2013

This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...

Persistent link: https://www.econbiz.de/10013087113