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Elusive return predictability: Discussion [PDF]
International Journal of Forecasting, 2008 Discussion of: Timmermann, Allan, (2008). Elusive return predictability, in International Journal of Forecasting, Volume 24, Issue 1, January-March 2008, pp. 1-18.
Hendry, D, Reade, J
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Elusive return predictability [PDF]
International Journal of Forecasting, 2008 Abstract Investors' searches for successful forecasting models cause the data generating process for financial returns to change over time, which means that individual return forecasting models can, at best, hope to uncover evidence of ‘local’ predictability.
Timmermann , Allan, Timmermann, Allan
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Understanding Stock Return Predictability [PDF]
SSRN Electronic Journal, 2006 Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This result holds up quite well in a number of robustness checks, and we show that the predictive power of the average IV might come from its close relation with systematic risk omitted from CAPM. First,
Hui Guo, Robert Savickas
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Time-Varying Return Predictability in the Chinese Stock Market [PDF]
Reports in Advances of Physical Sciences, 2017 China’s stock market is the largest emerging market in the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependencies.
Huai-Long Shi +2 more
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Earnings quality measures and stock return volatility in South Africa
Future Business Journal, 2022 This paper examined the association between various measures of earnings quality and stock return volatility of Johannesburg Stock Exchange (JSE)-listed companies for 10 years from 2009 to 2018.
Nyanine Chuele Fonou-Dombeu +3 more
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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
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Loan loss provisions and return predictability: A dynamic perspective
China Journal of Accounting Research, 2022 This paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994–2017. We find that on average, LLPs are negatively associated with one year ahead stock returns.
Phoebe Gao +3 more
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Do average higher moments predict aggregate returns in emerging stock markets? [PDF]
Journal of Asian Business and Economic Studies, 2022 Purpose – It has been demonstrated in the US market that expected market excess returns can be predicted using the average higher-order moments of all firms. This study aims to empirically test this theory in emerging markets. Design/methodology/approach
Sumaira Chamadia +2 more
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Option volume and stock returns: evidence from single stock options on the Korea Exchange [PDF]
Seonmul yeongu, 2021 Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale.
Mincheol Woo, Meong Ae Kim
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Timing the market: the economic value of price extremes
Financial Innovation, 2018 By decomposing asset returns into potential maximum gain (PMG) and potential maximum loss (PML) with price extremes, this study empirically investigated the relationships between PMG and PML. We found significant asymmetry between PMG and PML.
Haibin Xie, Shouyang Wang
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