Bayesian Reconciliation of Return Predictability. [PDF]
Stud Nonlinear Dyn Econom, 2022 Abstract This article considers a stable vector autoregressive (VAR) model and investigates return predictability in a Bayesian context. The bivariate VAR system comprises asset returns and a further prediction variable, such as the dividend-price ratio, and allows pinning down the question of return ...
Koval B +2 more
europepmc +6 more sources
Return predictability in metal futures markets: new evidence [PDF]
Heliyon, 2019 This paper studies the predictability of metal futures returns. Additionally, we identify years of high predictability. Generally, we find a substantial degree of predictability both in- and out-of-sample.
Björn Tharann
doaj +2 more sources
Cross-cryptocurrency return predictability
Journal of Economic Dynamics and Control, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li Guo, Bo Sang, Jun Tu, Yu Wang
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Four centuries of return predictability [PDF]
Journal of Financial Economics, 2018 Abstract We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in-
Benjamin Golez, Peter Koudijs
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Intraday return predictability: Evidence from commodity ETFs and their related volatility indices [PDF]
Resources Policy, 2020 Yahua Xu, Elie Bouri, Tareq Saeed
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Studying investor’s behavior in selecting technology levels and Stock return predictability by incorrect pricing theory. [PDF]
فصلنامه بورس اوراق بهادار, 2021 The goal of this study is to separate investor’s role based on risky and no risky approach on share return predictability on the basis of technology different levels.
Leila shirnejhad +2 more
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Managerial Overconfidence, Firm’s Profitability, and Its Predictability [PDF]
مطالعات تجربی حسابداری مالی, 2023 This study examines the effects of firms’ chief executive officers’ overconfidence on firms’ profitability and its predictability. The study’s hypotheses about positive significant chief executive officers’ overconfidence on profitability and its ...
Mehdi Nikravesh
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Predicting Bond Return Predictability [PDF]
SSRN Electronic Journal, 2020 This paper provides empirical evidence on predictable time variations in out-of-sample bond return predictability. Bond return predictability is associated with periods of high (low) economic activity (uncertainty), which implies that violations of the expectations hypothesis are state dependent and linked to features of the business cycle. These state
Daniel Borup +3 more
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Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange [PDF]
SHS Web of Conferences, 2021 The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e.
Emad Azhar Ali Syed +2 more
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Stock Return Predictability: Is it There? [PDF]
Review of Financial Studies, 2001 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.
Andrew Ang, Geert Bekaert
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