Search Results

On the Economic Value of Return Predictability,
Yufeng Han, in Annals of Economics and Finance (2010)
Keywords: Return predictability, Economic value, Model specification, Portfolio constraint

International stock return predictability,
Simon C. Smith, in International Review of Financial Analysis (2021)
Keywords: International stock return predictability; Predictor selection; Structural breaks; Bayesian analysis;

Predictable return distributions,
Thomas Pedersen, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Return predictability, return distribution, quantile regression, multivariate model, out-of-sample forecast, portfolio choice

Stock Return Predictability: Evidence Across US Industries,
Quynh Thi Thuy Pham, in Finance Research Letters (2021)
Keywords: return predictability; dividend growth predictability; industry portfolios; dividend smoothing;

What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble,
Cathy Yi-Hsuan Chen, Roméo Després, Li Guo and Thomas Renault, from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" (2019)
Keywords: Cryptocurrency, Sentiment, Bubble, Return Predictability

Investor sentiment and return predictability in agricultural futures markets,
Changyun Wang, from University Library of Munich, Germany (2002)
Keywords: Investor sentiment; agricultural futures markets; return predictability

Option return predictability with machine learning and big data,
Turan G. Bali, Heiner Beckmeyer, Mathis Moerke and Florian Weigert, from University of Cologne, Centre for Financial Research (CFR) (2021)
Keywords: Machine learning, big data, option return predictability

Return distribution predictability and its implications for portfolio selection,
Min Zhu, in International Review of Economics & Finance (2013)
Keywords: Return predictability; Quantile regression; Copula; Portfolio selection;

Extrapolative beliefs and return predictability: Evidence from China,
Huajing Zhang, Fuwei Jiang and Yumin Liu, in Journal of Behavioral and Experimental Finance (2024)
Keywords: Extrapolative beliefs; Stock return predictability; Asset pricing;

Bottom-up sentiment and return predictability of the market portfolio,
Jiaqi Guo, Youwei Li and Min Zheng, in Finance Research Letters (2019)
Keywords: Bottom-up sentiment; Market return predictability;

The log-linear return approximation, bubbles, and predictability,
Tom Engsted, Thomas Pedersen and Carsten Tanggaard, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Stock return, Taylor expansion, bubble, simulation, predictability

Return Predictability under Equilibrium Constraints on the Equity Premium,
Davide Pettenuzzo, Allan Timmermann and Rossen Valkanov, from Brandeis University, Department of Economics and International Business School (2008)
Keywords: Return Predictability, Constraints, Out-of-Sample Forecasts

Institutions and return predictability in oil-exporting countries,
Sirio Aramonte, Mohammad Jahan-Parvar and Justin Shugarman, from Board of Governors of the Federal Reserve System (U.S.) (2015)
Keywords: Country studies; Quality of institutions; Return predictability

Indicator selection and stock return predictability,
Zhifeng Dai and Huan Zhu, in The North American Journal of Economics and Finance (2021)
Keywords: Indicator selection; Momentum; Stock return predictability; Out-of-sample forecast;

Style investing, comovement and return predictability,
Sunil Wahal and M. Deniz Yavuz, in Journal of Financial Economics (2013)
Keywords: Style investing; Momentum; Return predictability; Comovement; Behavioral finance;

On the Economic Significance of Stock Return Predictability*,
Scott Cederburg, Travis L Johnson and Michael S O’Doherty, in Review of Finance (2023)
Keywords: Stock market return predictability, Time-varying volatility, Economic significance

Bayesian Reconciliation of Return Predictability,
Koval Borys, Frühwirth-Schnatter Sylvia and Sögner Leopold, in Studies in Nonlinear Dynamics & Econometrics (2024)
Keywords: VAR, return predictability, Bayesian control function approach, shrinkage priors, Bayes Factor

Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model,
Luciano Martin Rostagno, Gilberto de Oliveira Kloeckner and João Luiz Becker, in Brazilian Review of Finance (2004)
Keywords: market efficiency, return predictability, financial markets

Dividend growth and return predictability: A long-run re-examination of conventional wisdom,
Gertjan Verdickt, Jan Annaert and Marc Deloof, in Journal of Empirical Finance (2019)
Keywords: Dividend-to-price ratio; Return predictability; Dividend growth predictability; Equity duration;

Potential losses from incorporating return predictability into portfolio allocation,
Dragon Yongjun Tang, in Australian Journal of Management (2014)
Keywords: Bayesian robustness; portfolio selection; return predictability

EFFECTS OF RETURN PREDICTABILITY ON OPTION PRICES WITH STOCHASTIC VOLATILITY FOR THE MARKET PORTFOLIO,
Melanie Cao, in Annals of Financial Economics (AFE) (2005)
Keywords: Option, return predictability, stochastic volatility, F31

Option Trading Activity, News Releases, and Stock Return Predictability,
David Weinbaum, Andrew Fodor, Dmitriy Muravyev and Martijn Cremers, in Management Science (2023)
Keywords: option trading, news releases, stock return predictability

Let’s take a smooth break: Stock return predictability revisited,
Shikong Luo, Xinyan Yan and Haoyi Yang, in International Review of Economics & Finance (2021)
Keywords: Stock return predictability; Structural break; Dividend-price;

Institutional ownership and return predictability across economically unrelated stocks,
George P. Gao, Pamela C. Moulton and David T. Ng, in Journal of Financial Intermediation (2017)
Keywords: Return predictability; Anomalies; Institutional ownership; Institutional trading;

Stock return predictability over four centuries: The role of commodity returns,
Bernard Njindan Iyke and Sin-Yu Ho, in Finance Research Letters (2021)
Keywords: Stock return predictability; Commodity returns; Four centuries;

Return predictability following different drivers of large price changes,
Vinay Patel and David Michayluk, in International Review of Financial Analysis (2016)
Keywords: Return predictability; Large price change; Information; Liquidity;

Shared analyst coverage, 52-week high, and cross-firm return predictability,
Mei-Chen Lin, in International Review of Financial Analysis (2024)
Keywords: Shared analyst coverage; 52-week high; Return predictability;

How does bank opacity affect credit growth and return predictability?,
Arpit Kumar Parija and Malvika Chhatwani, in Journal of Empirical Finance (2024)
Keywords: Bank opacity; Credit growth; Return predictability;

Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability,
Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: Variance risk premium; Return predictability; Sentiment indicators

Return Explanatory Ability and Predictability of Non-Linear Market Models,
Chi-Hsiou Hung, from Durham University, Department of Economics (2007)
Keywords: Asset Pricing, Non-Linearity, Return Predictability

Stock Return Predictability: comparing Macro- and Micro-Approaches,
Arthur Stalla-Bourdillon, from Banque de France (2022)
Keywords: Out-of-Sample Return Predictability; Efficient Market Hypothesis; Conditional Beta Pricing Model; Alpha Predictability

Stock return predictability and stationarity of dividend yield,
Kuang-Liang Chang, in Economics Bulletin (2012)
Keywords: mean reversion, regime switching, stationarity, stock return predictability

Dynamic return predictability in the Russian stock market,
Jyri Kinnunen, in Emerging Markets Review (2013)
Keywords: Predictability; Autocorrelation; Volatility; Trading volume; Risk-return trade-off; Russia;

European business cycles and stock return predictability,
Yanjian Zhu and Xiaoneng Zhu, in Finance Research Letters (2014)
Keywords: Stock returns; Economic value; European business cycles; Return predictability;

Institutions and return predictability in oil-exporting countries,
Sirio Aramonte, Mohammad Jahan-Parvar and Justin K. Shugarman, in The Quarterly Review of Economics and Finance (2019)
Keywords: Country studies; Delayed reaction; Equity market return predictability; Institutional quality;

Financing anomaly, mispricing and cross-sectional return predictability,
Baochen Yang, Tao Ye and Yao Ma, in International Review of Economics & Finance (2022)
Keywords: Financing anomaly; Investor overconfidence; Investor attention; Mispricing; Return predictability;

Economic constraints and stock return predictability: A new approach,
Yaojie Zhang, Yu Wei, Feng Ma and Yongsheng Yi, in International Review of Financial Analysis (2019)
Keywords: Stock return predictability; Economic constraints; Forecast outlier; Asset allocation;

Stock market return predictability: A combination forecast perspective,
Wendai Lv and Jipeng Qi, in International Review of Financial Analysis (2022)
Keywords: Stock market; Return predictability; Combination forecast; Business cycles; Portfolio performances;

Multi-market trading, price delay, and return predictability,
Chuanxin Xia, Nien-Tzu Yang, Chaonan Lin and Kuan-Cheng Ko, in Finance Research Letters (2021)
Keywords: Price delay; ADRs; Underlying equity; Return predictability; Arbitrage risk;

Stock return predictability from a mixed model perspective,
Zhifeng Dai and Huan Zhu, in Pacific-Basin Finance Journal (2020)
Keywords: Mixed models; Stock return predictability; Out-of-sample forecast; Asset allocation;

Trade links and return predictability: The Australian evidence,
Miao Yu, Xiaolu Hu and Angel Zhong, in Pacific-Basin Finance Journal (2023)
Keywords: Trade links; Asset pricing; Information diffusion; Return predictability;

Local demand shocks, excess comovement and return predictability,
Markus S. Broman, in Journal of Banking & Finance (2020)
Keywords: Preferred habitat; Correlated demand; Mispricing; Arbitrage; Comovement; Return Predictability;

International volatility risk and Chinese stock return predictability,
Jian Chen, Fuwei Jiang, Yangshu Liu and Jun Tu, in Journal of International Money and Finance (2017)
Keywords: Return predictability; Implied volatility; Chinese stock market; ICAPM; Liquidity risk;

Shipping investor sentiment and international stock return predictability,
Nikos Papapostolou, Panos Pouliasis, Nikos K. Nomikos and Ioannis Kyriakou, in Transportation Research Part E: Logistics and Transportation Review (2016)
Keywords: Shipping investor sentiment; Stock return predictability; Out-of-sample forecast performance;

Psychological barrier and cross-firm return predictability,
Shiyang Huang, Tse-Chun Lin and Hong Xiang, in Journal of Financial Economics (2021)
Keywords: Cross-firm return predictability; Psychological barrier; 52-week high; Customer momentum;

Fama French factors and US stock return predictability,
Ekaterini Panopoulou and Sotiria Plastira, in Journal of Asset Management (2014)
Keywords: Fama French factors, out-of-sample forecasts, momentum, reversal, return predictability

On the intraday return curves of Bitcoin: Predictability and trading opportunities,
Elie Bouri, Chi Keung Lau, Tareq Saeed, Shixuan Wang and Yuqian Zhao, in International Review of Financial Analysis (2021)
Keywords: Bitcoin; Cumulative intraday return (CIDR) curves; Predictability; Efficiency; Trading opportunities;

Return Predictability, Expectations, and Investment: Experimental Evidence,
Marianne Andries, Milo Bianchi, Karen Huynh and Sébastien Pouget, from HAL (2024)
Keywords: Return Predictability,Expectations,Long-Term Investment,Extrapolation,Model Uncertainty.

Return predictability and the real option value of segments,
Pingui Rao, Heng Yue and Xin Zhou, in Review of Accounting Studies (2018)
Keywords: Real option value, Return predictability, Abnormal returns, Segment

Short-Horizon Return Predictability in International Equity Markets,
Abul Shamsuddin and Jae Kim, from School of Economics, La Trobe University (2009)
Keywords: Return predictability, variance ratio test, international equity markets

Return Predictability, Expectations, and Investment: Experimental Evidence,
Marianne Andries, Milo Bianchi, Karen Huynh and Sébastien Pouget, from Toulouse School of Economics (TSE) (2024)
Keywords: Return Predictability, Expectations, Long-Term Investment, Extrapolation, Model Uncertainty.

Shorting flows and return predictability in Taiwan,
Chaonan Lin, Hsiao-Wei Ho and Kuan-Cheng Ko, in Pacific-Basin Finance Journal (2023)
Keywords: Short sale; Shorting flow; Real-time disclosure; Return predictability; Taiwan stock market;

Bond return predictability in expansions and recessions,
Tom Engsted, Stig V. Møller and Magnus Sander, from Department of Economics and Business Economics, Aarhus University (2013)
Keywords: Return predictability, expansions and recessions, out-of-sample tests, power properties, mean-variance investor, expectations hypothesis.

The importance of large shocks to return predictability,
Juan Diaz, Diogo Duarte, Hamilton Galindo, Alexis Montecinos and Santiago Truffa, in Pacific-Basin Finance Journal (2021)
Keywords: Return predictability; Bias correction; Directional trading; In- and out-of-sample forecast; China trade shock;

Information demand and stock return predictability,
Dimitris K. Chronopoulos, Fotios I. Papadimitriou and Nikolaos Vlastakis, in Journal of International Money and Finance (2018)
Keywords: Return sign predictability; Information demand; Investor attention; Volatility forecast; Economic value;

Tail Risk Premia and Return Predictability,
Tim Bollerslev, Viktor Todorov and Lai Xu, from Department of Economics and Business Economics, Aarhus University (2014)
Keywords: Variance risk premium, time-varying jump tails, market sentiment and fears, return predictability.

Sectoral Labor Reallocation and Return Predictability,
Esther Eiling, Raymond Kan and Ali Sharifkhani, from Human Capital and Economic Opportunity Working Group (2018)
Keywords: financial markets, macroeconomics, Return Predictability, sectoral shifts, production-based asset pricing

Stock Return Predictability and Oil Prices,
Jaime Casassus and Freddy Higuera, from Instituto de Economia. Pontificia Universidad Católica de Chile. (2011)
Keywords: Return predictability, business cycle, crude oil, futures prices, asset pricing, conditional CAPM

Examining return predictability of industry style portfolios with prior return relative to a benchmark,
Abdullah Noman, Atsuyuki Naka and Duygu Zirek, in The Quarterly Review of Economics and Finance (2017)
Keywords: Return predictability; Industry style portfolios; House money effect; Panel regressions;

Stock return predictability in South Africa: The role of major developed markets,
Yi-Chieh Wen, Philip T. Lin, Bin Li and Eduardo Roca, in Finance Research Letters (2015)
Keywords: Return predictability; Lagged US returns; Return correlation; Diversification;

Portfolio choice with return predictability and small trading frictions,
Guiyuan Ma, Chi Chung Siu and Song-Ping Zhu, in Economic Modelling (2022)
Keywords: Portfolio choice problem; Return predictability; Log-return assumption; Small liquidity costs; Asymptotic expansion;

Sunspots and predictable asset returns,
Edouard Challe, from HAL (2004)
Keywords: Return predictability,Sunspots,Cointegration

Option-Implied Volatility Measures and Stock Return Predictability,
Xi Fu, Yakup Arisoy, Mark Shackleton and Mehmet Umutlu, from HAL (2016)
Keywords: Option-implied volatility,return predictability,Options (Finance)Volatility (Securities),Financial risk,Investments,Risk-return relationships,Prediction models

Historical Relationships and International Market Return Predictability: The Role of the UK in the Former British Colonies, Protectorates and Mandates,
Takuro Hidaka, Yuta Saito and Jun Sakamoto, from Osaka University, Graduate School of Economics (2023)
Keywords: Return predictability, Emerging market, Investment strategy

Short sales, short risk, and return predictability in Asia-Pacific real estate markets,
George D. Cashman, David M. Harrison and Hainan Sheng, in Pacific-Basin Finance Journal (2022)
Keywords: Short sales; Return predictability; Short selling risk;

Changes in the Composition of Publicly Traded Firms: Implications for the Dividend-Price Ratio and Return Predictability,
Stephan Jank, in Management Science (2015)
Keywords: return predictability, dividend-price ratio, sample selection

The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability,
Thomas Nitschka, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2006)
Keywords: Cointegration, Consumption-wealth ratio, Stock return predictability

Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index,
Bartosz Gebka and Mark Wohar, in International Review of Economics & Finance (2019)
Keywords: Return predictability; DJIA index; Distribution; Forecasting;

Does wage rigidity make firms riskier? Evidence from long-horizon return predictability,
Jack Favilukis and Xiaoji Lin, in Journal of Monetary Economics (2016)
Keywords: Wage rigidity; Return predictability; Operating leverage;

Site visit information content and return predictability: Evidence from China,
Dayong Dong, Sishi Yue and Jiawei Cao, in The North American Journal of Economics and Finance (2020)
Keywords: Institutional investors; Site visit content; Return predictability; Chinese stock market;

A study of cross-industry return predictability in the Chinese stock market,
Michael Ellington, Michalis P. Stamatogiannis and Yawen Zheng, in International Review of Financial Analysis (2022)
Keywords: Return predictability; Shrinkage; LASSO; Model selection; Industry portfolio;

Stock return predictability when growth and accrual measures are negatively correlated,
Miao Luo, Tao Chen and Jun Cai, in China Finance Review International (2018)
Keywords: Accrual effect, Growth effect, Stock return predictability, G14, M41

The return predictability of carbon emissions: Evidence from Hong Kong and Singapore,
Jie Cao, Xintong Zhan, Weiming Zhang and Yaojia Zhang, in Pacific-Basin Finance Journal (2023)
Keywords: Return predictability; Corporate carbon emissions; Investor underreaction; Environmental incidents;

Explaining Bond Return Predictability in an Estimated New Keynesian Model,
Martin M. Andreasen, from Department of Economics and Business Economics, Aarhus University (2019)
Keywords: Bond return predictability, Term premia, Robust structural estimation, Stochastic volatility

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements,
Zhuzhu Wen, Ivan Indriawan, Donald Lien and Yahua Xu, in The Energy Journal (2023)
Keywords: Crude oil market; EIA announcements; Intraday momentum; Return predictability

Implications of Return Predictability across Horizons for Asset Pricing Models,
Carlo Favero, Andrea Tamoni, Fulvio Ortu and Haoxi Yang, from C.E.P.R. Discussion Papers (2016)
Keywords: Return predictability; Predictors-based bound; Asset pricing models

Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches,
Jaeram Lee, Jungjoon Ihm and Doojin Ryu, in Finance Research Letters (2017)
Keywords: Human capital returns; Labor income growth; Return predictability; Returns to education;

Stock return predictability in China: Power of oil price trend,
Zhen Cao, Liyan Han and Qunzi Zhang, in Finance Research Letters (2022)
Keywords: Oil price trend; Equity risk premia; Return predictability; Economic value;

Stock return predictability: Evidence from moving averages of trading volume,
Yao Ma, Baochen Yang and Yunpeng Su, in Pacific-Basin Finance Journal (2021)
Keywords: Technical analysis; Trading volume; Mispricing; Moving averages; Return predictability;

Intraday momentum and stock return predictability: Evidence from China,
Yaojie Zhang, Feng Ma and Bo Zhu, in Economic Modelling (2019)
Keywords: Intraday momentum; Return predictability; Chinese stock market; Economic value;

Intraday momentum and return predictability: Evidence from the crude oil market,
Zhuzhu Wen, Xu Gong, Diandian Ma and Yahua Xu, in Economic Modelling (2021)
Keywords: Intraday momentum; Return predictability; Crude oil market; Market timing strategy;

Stock return predictability and investor sentiment: A high-frequency perspective,
Licheng Sun, Mohammad Najand and Jiancheng Shen, in Journal of Banking & Finance (2016)
Keywords: Intraday; Investor sentiment; High frequency; Stock return predictability; Noise trading;

On the reversal of return and dividend growth predictability: A tale of two periods,
Long Chen, in Journal of Financial Economics (2009)
Keywords: Dividend price ratio Equity return Dividend growth Predictability Reinvestment

Economic policy uncertainty and industry return predictability – Evidence from the UK,
Anna Golab, Deepa Bannigidadmath, Thach Ngoc Pham and Kannan Thuraisamy, in International Review of Economics & Finance (2022)
Keywords: Industry return predictability; Policy uncertainty; Recession; Expansion; Risk factors;

Equilibrium Valuation Of Options On The Market Portfolio With Stochastic Volatility And Return Predictability,
Melanie Cao, from Economics Department, Queen's University (1997)
Keywords: Equilibrium, Stochastic volatility, Return predictability, Stochastic interest rate, Options

Innovation links, information diffusion, and return predictability: Evidence from China,
Kailin Zeng, Ting Tang, Fangbiao Liu and Ebenezer Fiifi Emire Atta Mills, in International Review of Financial Analysis (2022)
Keywords: Innovation link; Patent citation; Information diffusion; Return predictability;

The Return Predictability and Market Efficiency of the KLSE CI Stock Index Futures Market,
J.L. Ford, Wee Ching Pok and S. Poshakwale, in Journal of Emerging Market Finance (2012)
Keywords: APT; market efficiency; stock index futures; emerging market; return predictability

Stock return predictability using economic narrative: Evidence from energy sectors,
Tian Ma, Ganghui Li and Huajing Zhang, in Journal of Commodity Markets (2024)
Keywords: Economic narrative; Return predictability; Energy industry; Investor attention;

Robust portfolio choice with ambiguity and learning about return predictability,
Nicole Branger, Linda Sandris Larsen and Claus Munk, in Journal of Banking & Finance (2013)
Keywords: Return predictability; Portfolio choice; Ambiguity; Learning; Robust control;

Investment–consumption optimization with transaction cost and learning about return predictability,
Ning Wang and Tak Kuen Siu, in European Journal of Operational Research (2024)
Keywords: Portfolio optimization; Return predictability; Learning; Transaction cost; Monte Carlo simulation;