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Can Security Analyst Forecasts Predict Gold Returns?
Mihaylov, George - 2017
via its impact on stock return synchronicity.We then examine if the difference between forecast and observed earnings for …
Persistent link: https://www.econbiz.de/10012967299
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2014
Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a poor measure of the market expectation of the price of...
Persistent link: https://www.econbiz.de/10010409922
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …
Persistent link: https://www.econbiz.de/10012163064
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Seven pitfalls of technical analysis
Caporale, Guglielmo Maria; Plastun, Alex - 2023
This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...
Persistent link: https://www.econbiz.de/10013489574
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Target price forecasts : The roles of the 52-week high price and recent investor sentiment
Clarkson, Peter M.; Nekrasov, Alexander; Simon, Andreas; … - 2020
reliance does not translate into an increased impact per unit of each non-fundamental factor on forecast bias. Finally, our …
Persistent link: https://www.econbiz.de/10012857242
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Forecasting Stock Prices with a News-Based Model
Schmidt, Anatoly B. - 2022
total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company …
Persistent link: https://www.econbiz.de/10014239426
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Forecasting Stock Returns
Rapach, David; Zhou, Guofu - 2023
predictability, popular predictors from the literature fail to outperform the simple historical average benchmark forecast in out … model restrictions, forecast combination, diffusion indices, and regime shifts—improve forecasting performance by addressing …
Persistent link: https://www.econbiz.de/10014351279