Download or read book Is Stock Return Predictability Spurious written by Wayne E. Ferson and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Two problems, spurious regression bias and naive data mining, conspire to mislead analysts about predictive models for stock returns. This article demonstrates the two problems, how they interact, and makes suggestions for what to do about it.

Download or read book Is Stock Return Predictability Spurious written by Zhili Yuan and published by . This book was released on 2004 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Download or read book Essays on Stock Return Predictability and Portfolio Allocation written by Bradley Steele Paye and published by . This book was released on 2004 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fractional Differencing and Return Predictability written by Josef Zorn and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Common predictors variables for the equity premium such as financial ratios exhibit high persistence and thus are borderline non-stationary. This article sheds light on the possibility of fractional differencing those ratios in order to attain stationarity yet preserving the long-run memory. Several empirical tests using out-of-sample predictions demonstrate that this procedure not only ensures non-spurious regressors but also strengthens the predictive power for stock returns.

Download or read book Understanding Stock Return Predictability written by Hui Guo and published by . This book was released on 2007 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Statistical Inference for Stock Return Predictions and Capital Asset Pricing Models written by Sungju Chun and published by . This book was released on 2012 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: In this dissertation, I focus on econometric issues arising in the fields of Financial Economics. In the first chapter, I study return predictability in international equity markets focusing on the effects of the bias and spurious regression problems for statistical inference. The slope coefficient estimator in predictive regressions for stock returns is biased in the presence of a lagged stochastic regressor. Spurious regression may also occur if the underlying expected return is highly persistent. I consider the effect of these biases in the presence of data mining for the predictive variables. I find that the two biases can reinforce or offset each other, depending on the parameters of the model. I present a new bias expression valid with an unobserved true expected returns and re-evaluate return predictability in international equity markets adjusting for data mining associated with both effects. The second chapter studies tests for structural changes in the trend function of a univariate time series that are robust to whether the noise component is stationary (I (0)) or contains an autoregressive unit root (I (1)). The tests of interest are the robust procedures recently proposed by Perron and Yabu (2009) and Harvey, Leybourne and Taylor (2009), both of which attain the same limit distribution under I (0) and I (1) errors. We compare their finite sample size and power under different data-generating processes for the noise components. We apply the tests to a large historical panel of real exchange rates with respect to the U.S. dollar for 19 countries and document simultaneous shifts in level and trend for many series. The third chapter studies the sampling interval effect in estimating capital asset pricing models. In past empirical studies, the beta coefficient estimates are documented to be sensitive to the sampling interval used for returns. We provide a theoretical framework to explain this sampling interval effect. We show that it can be attributable to the existence of transitory components in stock prices, and provide empirical evidence supporting its presence.

Download or read book Predictable Stock Returns written by Charles R. Nelson and published by . This book was released on 1990 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Return Predictability written by Anselm Rogowski and published by . This book was released on 2015-06-03 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.

Download or read book Stock Return Predictability and Model Uncertainty written by Doron Avramov and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use Bayesian model averaging to analyze the sample evidence on return predictability in the presence of model uncertainty. The analysis reveals in-sample and out-of-sample predictability, and shows that the out-of-sample performance of the Bayesian approach is superior to that of model selection criteria. We find that term and market premia are robust predictors. Moreover, small-cap value stocks appear more predictable than large-cap growth stocks. We also investigate the implications of model uncertainty from investment management perspectives. We show that model uncertainty is more important than estimation risk, and investors who discard model uncertainty face large utility losses.

Download or read book Empirical Analysis of Stock Market Return Predictability written by Justus Heuer and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Download or read book Stock Return Predictability from the Perspective of Term Structure written by Qinke Zhu and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Tests of Stock Return Predictability written by John Y. Campbell and published by . This book was released on 2009 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid inference and an efficient test of predictability that corrects this problem. Although the conventional t-test is invalid for the dividend-price and smoothed earnings-price ratios, our test finds evidence for predictability. We also find evidence for predictability with the short rate and the long-short yield spread, for which the conventional t-test leads to valid inference.

Download or read book Stock Return Predictability written by Geert Bekaert and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We ask whether stock returns in France, Germany, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We use this model imposing a constant risk premium to examine the finite sample evidence on predictability. Not only do we find the short rate to be a relevant state variable theoretically, it is also the only robust short-run predictor of equity returns. The evidence in Lamont (1998) on earnings and dividend yield predictability is not robust to our increased sample period, does not survive finite sample corrections and does not extend to other countries. We find no evidence of long-horizon predictability once we account for finite sample influence. Finally, cross-country predictability appears stronger than predictability using local instruments.

Download or read book Stock return predictability is it there written by Andrew Ang and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Empirical Studies on Stock Return Predictability written by Jingya Wang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: