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Non-Linear Predictability of Stock Market Returns : Comparative Evidence from Japan and the US

Humpe, Andreas - 2015

Using smooth transition regression model analysis, we examine the non-linear predictability of Japanese and US stock market returns by a set of macroeconomic variables between 1981 and 2012. The theoretical basis for investigating non-linear behavior in stock returns can be based on the...

Persistent link: https://www.econbiz.de/10013010039

Revisiting Dividend Growth Predictability via Dividend Yield

Asimakopoulos, Panagiotis - 2014

frequency data are used, and the effect of price volatility on the computation of dividend yield. Specifically, an application … that dividend yield explains the future annual dividend growth. In order to cancel out the effects of price variation on …

Persistent link: https://www.econbiz.de/10013062653

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

McCloskey, PJ - 2020

. Our work is directly applicable to UK price controls …

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

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

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 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/10014190297

Two Gold Return Puzzles

Kolev, Gueorgui I. - 2013

Since the dismantling of the Bretton Woods system, gold has delivered average return comparable to the average return … the financiers. In the context of modern asset pricing models, say the CAPM model or the Fama-French three factor model …, gold is a risk free asset, as it has no covariation with the risk factors. The large average gold return is a Jensen …

Persistent link: https://www.econbiz.de/10013081787

Forecasting Copper Prices with Dynamic Averaging and Selection Models

Buncic, Daniel - 2017

We use data from the London Metal Exchange (LME) to forecast monthly copper returns using the recently proposed dynamic model averaging and selection (DMA/DMS) methodology which incorporates time varying parameters as well as time varying model averaging and selection into a unifying framework....

Persistent link: https://www.econbiz.de/10012972876

Forecasting Lithium Prices

Villena, Mauricio; Quinteros, Maria; Hardy, Nicolas - 2023

The main aim of this paper is to forecast both in-sample and out-of-sample lithium prices. Specifically, we explore the empirical implications of the present value model for exchange rates, market indexes, mining company prices and related company prices in hi-tech, automotive, electric vehicle...

Persistent link: https://www.econbiz.de/10014256538

Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy : conference paper

Pierdzioch, Christian; Rohloff, Sebastian; Risse, Marian - 2014

Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real …-ofsample the rate of change of the real price of gold. We study the economic value-added of out-of-sample forecasts using a …

Persistent link: https://www.econbiz.de/10010485282

Predicting recessions with interest rate spreads : a multicountry regime-switching analysis

Ahrens, Ralf - 1999

This study uses Markov-switching models to evaluate the informational content of the term structure as a predictor of recessions in eight OECD countries. The empirical results suggest that for all countries the term spread is sensibly modelled as a two-state regime-switching process. Moreover,...

Persistent link: https://www.econbiz.de/10009768273

Financial Variables as Predictors of Real Growth Vulnerability

Reichlin, Lucrezia - 2020

proposed by Hasenzagl et al. (2018). We distinguish between price variables such as credit spreads and stock variables such as …

Persistent link: https://www.econbiz.de/10012839175