Results 271 to 280 of about 15,148 (305)

Technological links and predictable returns

Journal of Financial Economics, 2017
Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firm returns. A long-short strategy based on this effect yields monthly alpha of 117 basis points.
Charles M.C. Lee, Stephen Teng Sun, Rongfei Wang, Ran Zhang   +3 more
openaire   +1 more source

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 Kumar Narayan, Susan Sunila Sharma   +1 more
exaly   +1 more source

A Practitioner’s Defense of Return Predictability

The Journal of Portfolio Management, 2015
Revisiting the issue of return predictability, we show there is substantial predictive power in combining forecasting variables. We apply correlation screening to combine twenty variables that have been proposed in the return predictability literature, and demonstrate forecasting power at a six-month horizon.
Blair Hull, Xiao Qiao
openaire   +1 more source

Return Dispersion and the Predictability of Stock Returns

SSRN Electronic Journal, 2012
This paper analyzes whether stock return dispersion (cross-sectional variance of equity portfolio returns) provides useful information about future stock returns, both at the aggregate and portfolio levels. Return dispersion consistently forecasts a decline in the (excess) stock market return, and compares favorably with alternative predictors ...
openaire   +1 more source

Instability of return prediction models

Journal of Empirical Finance, 2005
Abstract This study examines evidence of instability in models of ex post predictable components in stock returns related to structural breaks in the coefficients of state variables such as the lagged dividend yield, short interest rate, term spread and default premium.
Bradley S. Paye, Allan G. Timmermann
openaire   +1 more source

Predicting failure to return to work

Internal Medicine Journal, 2012
AbstractAim:  The research question is: is it possible to predict, at the time of workers' compensation claim lodgement, which workers will have a prolonged return to work (RTW) outcome? This paper illustrates how a traditional analytic approach to the analysis of an existing large database can be insufficient to answer the research question, and ...
openaire   +2 more sources

Sunspots and predictable asset returns

Journal of Economic Theory, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +4 more sources

Stock return predictability and model uncertainty [PDF]

Journal of Financial Economics, 2001
We use Bayesian model averaging to analyze the sample evidence on return predictability in the presence of uncertainty about the return forecasting model. The analysis reveals in-sample and out-of-sample predictability, and shows that the out-of-sample performance of the Bayesian approach is superior to that of model selection criteria.
openaire   +1 more source

Does investor recognition predict returns?☆

Journal of Financial Economics, 2008
Merton (1987) shows that stocks that not all investors are informed about should yield a return premium. This premium depends on the shadow cost of incomplete information which in turn is composed of the shareholder base, relative market size and idiosyncratic risk. Utilizing a comprehensive database of investor shareholdings, we demonstrate that stock
Bodnaruk, Andriy, Östberg, Per
openaire   +1 more source

The 'Fed Model' and the Predictability of Stock Returns

SSRN Electronic Journal, 2012
Abstract The focus of this article is on the predictive role of the stock-bond yield gap—the difference between the stock market earnings (dividend) yield and the 10-year Treasury bond yield—also known as the “Fed model”. The results show that the yield gap forecasts positive excess market returns, both at short and long forecasting ...
openaire   +3 more sources