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Delfim, Jean-Christophe; Hoesli, Martin - 2019

This research starts from the observation that common desmoothing models are likely to generate some extreme returns. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those that would be made if a transaction based index were...

Persistent link: https://www.econbiz.de/10012052120

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

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

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 weak form Efficient Market Hypothesis). We do...

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

Multi-factor asset-pricing models under Markov regime switches : evidence from the Chinese stock market

Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19

This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return relationship under different regimes for the Chinese stock market. It was found that the Chinese stock market has two significant regimes: a persistent bear market and a bull market. In...

Persistent link: https://www.econbiz.de/10011883257

Causality between economic policy uncertainty and real housing returns in emerging economies : a cross-sample validation approach

Aye, Goodness C. - In: Cogent economics & finance 6 (2018) 1, pp. 1-16

This paper examines whether economic policy uncertainty (EPU) causes real housing returns in 8 emerging economies for which EPU data are available namely: Brazil, Chile, China, India, Ireland, Russia, South Africa and South Korea. Quarterly data were used for the analysis. The study uses...

Persistent link: https://www.econbiz.de/10011905243

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

The Role of a Latent Value-Relevant Measure in Tracking and Predicting Stock Returns : A FAVAR Approach

Awwal, Faisal M. - 2020

This paper attempts to estimate and study the role of 'other information', as posited in the residual income valuation model of Ohlson (1995), for tracking and predicting future returns of the S&P 500. 'Other information' is an unobserved variable and defined as a summary of value-relevant...

Persistent link: https://www.econbiz.de/10012830124

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

Evolution of Monetary Mechanism in the U.S : The Role of Asset Returns

Simo-Kengne, Beatrice - 2016

to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2012 indicate that the interest rate responds more strongly to asset returns during low-volatility …

Persistent link: https://www.econbiz.de/10013007288

Evolution of the Monetary Transmission Mechanism in the US : The Role of Asset Returns

Simo-Kengne, Beatrice - 2016

to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2013 indicate that the interest rate responds more strongly to asset returns during low-volatility …

Persistent link: https://www.econbiz.de/10012997726

Time-Varying Effects of Housing and Stock Returns on U.S. Consumption

Simo-Kengne, Beatrice - 2015

This paper applies a time-varying parameter vector autoregressive approach to estimate the relative effects of housing and stock returns on the growth rate of US consumption over time. We use annual data from 1890 to 2012 and find that at the one- and two-year horizons and over time, generally...

Persistent link: https://www.econbiz.de/10013025463