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Credit Conditions and Stock Return Predictability

Chava, Sudheer - 2015

We analyze U.S. stock return predictability using a measure of credit standards (Standards) derived from the Federal Reserve Board's Senior Loan Officer Opinion Survey on Bank Lending Practices. Standards is a strong predictor of stock returns at a business cycle frequency, especially in the...

Persistent link: https://www.econbiz.de/10013039035

Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models

Lopez-Lira, Alejandro; Tang, Yuehua - 2023

We examine the potential of ChatGPT, and other large language models, in predicting stock market returns using sentiment analysis of news headlines. We use ChatGPT to indicate whether a given headline is good, bad, or irrelevant news for firms' stock prices. We then compute a numerical score and...

Persistent link: https://www.econbiz.de/10014351271

Forecasting Stock Returns

Rapach, David; Zhou, Guofu - 2023

We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

Persistent link: https://www.econbiz.de/10014351279

Time-Disaggregated Dividend-Price Ratio and Dividend Growth Predictability in Large Equity Markets

Asimakopoulos, Panagiotis - 2016

Even in large equity markets, the dividend-price ratio is significantly related with the growth of future dividends. In order to uncover this relationship, we use monthly dividends and a mixed data sampling technique which allows us to cope with within-year seasonality. We reduce the effect of...

Persistent link: https://www.econbiz.de/10013006710

Cross-Firm Information Flows and the Predictability of Stock Returns

Scherbina, Anna - 2016

We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results...

Persistent link: https://www.econbiz.de/10013007526

Why does news coverage predict returns? Evidence from the underlying editor preferences for risky stocks

Schwenkler, Gustavo; Zheng, Hannan - 2022

more often a stock appears in the news because of its risk characteristics. Editor preferences are highly time …

Persistent link: https://www.econbiz.de/10013311577

Investor Sentiment and Market Skewness Pricing

Yaakoubi, Soumaya - 2022

This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the … low sentiment periods separately. We find that market skewness risk carries a negative premium that cannot be explained … away by known risk factors when sentiment is low. In contrast, the results are not conducive to a risk explanation when …

Persistent link: https://www.econbiz.de/10013298295

Short Interest and Aggregate Stock Returns : International Evidence

Gorbenko, Arseny - 2023

I find that short interest significantly and negatively predicts aggregate stock returns in 24 out of 32 countries examined. This predictability survives out-of-sample tests, persists outside recessions, and is not subsumed by other well-known return predictors. The results indicate that short...

Persistent link: https://www.econbiz.de/10014265476

Stock Return Predictability : comparing Macro- and Micro-Approaches

Stalla-Bourdillon, Arthur - 2022

Economic theory identifies two potential sources of return predictability: time variation in expected returns (beta-predictability) or market inefficiencies (alpha-predictability). For the latter, Samuelson argued that macro-returns exhibit more inefficiencies than micro-returns, as individual...

Persistent link: https://www.econbiz.de/10014236259

What Explains the Variance of Prices and Returns? : Time-series Vs. Cross-section

Chaves, Denis B. - 2009

This paper studies the relative importance of discount rates and cash flows with a focus on the differences between time-series and cross-sectional variance tests. I show that the following holds for the market, different types of portfolios, and individual stocks: (a) changes in expected...

Persistent link: https://www.econbiz.de/10013154202