Download or read book On Measuring the Economic Significance of Asset Return Predictability written by Murray Carlson and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of recent studies have measured the quantitative effect of excess return predictability on the optimal consumption and portfolio choices of a rational investor, and they have used the utility costs of ignoring predictability as a natural measure of economic significance. We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. We find that conditional rules based on ordinary least squares estimates of excess returns are severely biased, and they have a large variance across multiple simulated histories of the model. In this experiment, we find the estimation issues to be so severe that the simple unconditional consumption and portfolio rules, from Merton (1969), actually outperform (in a utility cost sense) both simple and bias-corrected empirical estimates of conditionally optimal policies.
Download or read book Testing the Economic Value of Asset Return Predictability written by Michael W. McCracken and published by . This book was released on 2012 with total page 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 International Stock Return Predictability written by Pierre Giot and published by . This book was released on 2006 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book Predictability of Asset Returns written by Pascal Ziegler and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In dieser Thesis untersuche ich die Voraussagbarkeit von amerikanischen Aktienerträgen für die Periode 1973 - 2003. Ich unterscheide zwischen kurzfristiger und langfristiger Voraussagbarkeit und finde für beide Fälle Hinweise für ihre Existenz. Die langfristige Voraussagbarkeit sollte jedoch vorsichtig betrachtet werden. Ausserdem diskutiere ich die Implikationen von vorhersagbaren Aktienerträgen auf die Wahl des Portfolios. Weiter zeige ich, dass Voraussagbarkeit ökonomisch signifikant ist. Eine Handelsstrategie basierend auf der Vorhersage von Aktienerträgen mit Hilfe des Zinssatzes zeigt eine bessere Performance als eine buy-and-hold Strategie sogar unter Berücksichtigung von Transaktionskosten.
Download or read book Asset Return Predictability in a Heterogeneous Agent Equilibrium Model written by Murray Carlson and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Return Predictability written by Alex D. Patelis and published by . This book was released on 2001 with total page 44 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 Predicting Stock Returns written by David G McMillan and published by Palgrave Pivot. This book was released on 2018-09-04 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Download or read book Implications of Return Predictability Across Horizons for Asset Pricing Models written by Carlo A. Favero and published by . This book was released on 2016 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use the evidence on predictability of returns at different horizons to discriminate among competing asset pricing models. Specifically, we employ predictors-based variance bounds, i.e. bounds on the variance of the Stochastic Discount Factors (SDFs) that price a given set of returns conditional on the information contained in a vector of return predictors. We show that return predictability delivers variance bounds that are much tighter than the classical, unconditional Hansen and Jagannathan (1991) bounds. We use the predictors-based bounds to discriminate among three leading classes of asset pricing models: rare disasters, long-run risks and external habit. We find that the rare disasters model of Nakamura, Steinsson, Barro, and Ursua (2013) is the best performer since it satisfies rather comfortably the predictors-based bounds at all horizons. As for long-run risks, while the classical version of Bansal and Yaron (2004) is the model most challenged by the introduction of conditioning information since it struggles to meet the bounds at all horizons, the more general version of Schorfheide, Song, and Yaron (2016), which accounts for multiple volatility components, satisfies the 1- and 5-year bounds as long as the set of test assets includes only equities and T-Bills. The Campbell and Cochrane (1999) habit model lies somehow in the middle: it performs quite well at our longest 5-year horizon while it struggles at the 1-year horizon. Finally, when the set of test assets is augmented with Treasury Bonds, the only model that is able to satisfy the predictors-based bounds is the rare disasters model.
Download or read book A New Test on Asset Return Predictability with Structural Breaks written by Zongwu Cai and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Asset Allocation Approach to Measuring Stock Return Predictability written by Walter Boudry and published by . This book was released on 2000 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Predictability of Stock Returns written by M. Hashem Pesaran and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Predictability of Returns and Cash Flows written by Ralph S. J. Koijen and published by . This book was released on 2010 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries
Download or read book Economic Links and Cross predictability of Stock Returns written by Sebastian Müller and published by . This book was released on 2017 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior research has shown that information diffuses gradually across stocks that are economically linked at the industry level. I document a similar pattern when stock portfolios are formed based on characteristics that are used in the anomaly literature (e.g., size, value, asset growth). Specifically, characteristics are useful to identify economic links, and earnings surprises contain information about future returns of other firms that share similar characteristics (i.e., “similar-style” firms). Such style-based earnings surprises can be used to predict style returns in the time-series. For the cross-section of stocks, I create a composite style-based earnings surprise measure (SESM), which generates an equal-weighted (value-weighted) long-short strategy return of 167 (101) basis points per month. I do not find that industry spillovers, the traditional post-earnings announcement drift, unconditional abnormal style returns, or risk can explain the return predictability. My findings suggest a further channel of gradual information diffusion in security markets.
Download or read book A New Robust Inference for Asset Return Predictability Via Quantile Regression written by Zongwu Cai and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
