Results 1 to 10 of about 1,694,841 (201)
Intraday return predictability: Evidence from commodity ETFs and their related volatility indices [PDF]
Resources Policy, 2020 Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that intraday return
Tareq Saeed, Yahua Xu, Elie Bouri
exaly +3 more sources
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
The adaptive market hypothesis and the return predictability in the cryptocurrency markets
Economics and Business Review, 2023 This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis.
Karasiński Jacek
doaj +2 more sources
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.
G. Bekaert, Andrew Ang
semanticscholar +3 more sources
Stock return predictability in the time of COVID-19. [PDF]
Financ Res Lett, 2021 We examine predictive ability of a relatively large number of variables from currency, bond and commodity markets for US stock returns during the COVID-19 crisis. As a novel contribution, we estimate robust Lasso predictive regressions with Cauchy errors,
Ciner C.
europepmc +2 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 Using the minute-frequency data on Binance, we document strong evidence of crosscryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes without return ...
Li Guo, Donghun Kang, Bo Sang, Yu Wang
semanticscholar +7 more sources
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 ...
Daniel D. Borup +3 more
semanticscholar +3 more sources
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-
Peter Koudijs, Benjamin Golez
exaly +2 more sources
Is stock return predictability time-varying?
Journal of International Financial Markets, Institutions and Money, 2018 Using historical data (January 1927 to December 2014), this paper shows that stock return predictability is time-varying based on several well-known predictors from the literature. However, only 7 of 14 predictors exhibit this time-varying predictability
Paresh Narayan, Susan Sunila Sharma
exaly +2 more sources