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Predictable Return Distributions [PDF]
SSRN Electronic Journal, 2010 Using quantile regression this paper explores the predictability of the stock and bond return distributions as a function of economic state variables. The use of quantile regression allows us to examine specific parts of the return distribution such as the tails and the center, and for a sufficiently fine grid of quantiles we can trace out the entire ...
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Jackknifing Stock Return Predictions [PDF]
SSRN Electronic Journal, 2008 We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates.
Benjamin Chiquoine, Erik Hjalmarsson
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Time-varying stock return predictability: the Eurozone case
Notas Económicas, 2015 In this paper, we test the existence of predictability in eleven Eurozone stock markets, using both regressions with constant coefficients and with time-varying coefficients.
Nuno Silva
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COVID-19 and instability of stock market performance: evidence from the U.S.
Financial Innovation, 2021 The effect of COVID-19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID-19 and the instability of both stock return predictability and price volatility in ...
Hui Hong, Zhicun Bian, Chien-Chiang Lee
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The optimal use of return predictability : an empirical study [PDF]
, 2011 In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables.
Stremme, A +4 more
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Examining the effects of behavioral biases of investors on Tehran Stock Exchange efficiency using trends and consistency in firms’ financial performance during 1997-2006 [PDF]
Problems and Perspectives in Management, 2016 The present study investigates the effects of behavioral biases on the efficiency of Tehran stock exchange. In fact, these biases are the mistakes that individuals make while making financial decisions. The methodology of this research is that firms with
Bahman Gholami +2 more
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Scientific Annals of Economics and Business, 2023 In this paper, we examine the Portuguese stock market for indication of time-series momentum effects using a new historical financial dataset that covers about 120 years of data.
Júlio Lobão, Ana Rosário
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Predicting Returns with Financial Ratios [PDF]
SSRN Electronic Journal, 2002 This article provides a new test of the predictive ability of aggregate financial ratios. Predictive regressions are subject to small-sample biases, but the correction in previous studies can substantially understate forecasting power. Dividend yield predicts aggregate market returns from 1946 - 2000, as well as in various subperiods.
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Predictability of Stock Returns in Central and Eastern European Countries
Acta Universitatis Lodziensis. Folia Oeconomica, 2022 Stock return predictability in highly developed countries has both empirical and theoretical justification in financial literature. The article aims to answer the question if market valuation ratios that relate share prices to various accounting ...
Piotr Pietraszewski
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Testing the Adaptive Market Hypothesis and Time-Varying Efficiency in the Indian Equity Market [PDF]
Colombo Business JournalThe study examines the adaptive market hypothesis (AMH) as an evolutionary principle of the alternative efficient market hypothesis in the Indian stock market (Sensex and Nifty50) on the daily return from April 2014 to May 2020.
Nang Biak Sing, Rajkumar Giridhari Singh
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