Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More … growth level, from which the actual stock price may deviate as an effect of random external disturbances, and iii) a driving …

This paper examines the extent to which financial signaling affects the analysts' and managers' forecast releases. The … findings give evidence of heterogeneity of analysts' forecast errors between firms with strong financial indicators (high … group). The paper further indicates that managers' forecast releases also depend on the type of the firm and that managers …

data) between the PPP-based forecast models, and the Vector Autoregresive (VAR) ones. The VAR method has a better …

paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between …

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast … prediction techniques leads to better forecasts of gold excess returns. The forecast power of fundamental predictor variables is … not only highly regime-dependent, but also dependent on the selected economic evaluation criterion. Future gold forecast …

-memory duration models in an out-of-sample forecasting exercise based on price durations of three major foreign exchange futures …

-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value …