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Are Stock Returns Predictable? Rewarding Patient Investors & Powerful Binding Equilibriums

McCloskey, PJ - 2020

Stock markets worldwide have rewarded patient investors, hence the common advice to ‘buy and hold'. Yet even with a large body of research over a prolonged period, proving this concept remains an onerous exercise for academics. We use Tobin's Q and the dividend yield to build an equilibrium...

Persistent link: https://www.econbiz.de/10012845670

Revisiting the Duration Dependence in the US Stock Market Cycles

Zakamulin, Valeriy - 2020

market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …

Persistent link: https://www.econbiz.de/10012833990

Time-deformation modeling of stock returns directed by duration processes

Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - 2008

Persistent link: https://www.econbiz.de/10003975386

Asymmetric multivariate normal mixture GARCH

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2008

. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the …

Persistent link: https://www.econbiz.de/10010298390

Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus; Mittnik, Stefan - 2008

We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...

Persistent link: https://www.econbiz.de/10010298391

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063

Applications of a Multivariate Hawkes Process to Joint Modeling of Sentiment and Market Return Events

Yang, Steve Y. - 2017

To investigate the complex interactions between market events and investor sentiment, we employ a multivariate Hawkes process to evaluate dynamic effects among four types of distinct events: positive returns, negative returns, positive sentiment and negative sentiment. Using both intraday S&P...

Persistent link: https://www.econbiz.de/10012958530

Multivariate variance ratio statistics

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...

Persistent link: https://www.econbiz.de/10010365211

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

Persistent link: https://www.econbiz.de/10010496122

An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability

Hong, Seok Young - 2016

Persistent link: https://www.econbiz.de/10013006601