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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

Can Deep Neural Networks Outperform Fama-MacBeth Regression and Other Supervised Learning Approaches in Stock Returns Prediction With Asset-Pricing Factors?

Teng, Huei-Wen; Li, Yu-Hsien - 2022

In asset pricing, most studies focus on finding new factors such as macroeconomic factors or firm characteristics to explain risk premium. Investigating whether these factors are useful in forecasting stock returns remains active research in the field of finance and computer science. This paper...

Persistent link: https://www.econbiz.de/10014235825

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667

Forecasting Long-Horizon Factor Volatility

Zeissler, Tom Oskar Karl - 2022

This paper investigates forecasts of long-term volatility for the fast-growing field of long-short factor strategies in an extensive in- and out-of-sample framework. More in detail, the study follows previous authors by empirically comparing various forecast configurations to provide guidance to...

Persistent link: https://www.econbiz.de/10013289776

Predictability and the cross-section of expected returns : a challenge for asset pricing models

Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020 - This version: August 28, 2020

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price …

Persistent link: https://www.econbiz.de/10012271368

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023

for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …

Persistent link: https://www.econbiz.de/10014388605

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023 - First Draft: October 15, 2023

for the price of risk. We also document that the survey expectationsaugmented specification reduces pricing and premium …

Persistent link: https://www.econbiz.de/10014381149

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo - 2010

Persistent link: https://www.econbiz.de/10013136656

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a … years and therefore has not been stable over time. We then posit that oil price changes are still useful for forecasting … VAR approach, we decompose oil price changes into oil supply shocks, global demand shocks, and oil-specific demand shocks …

Persistent link: https://www.econbiz.de/10012935742