Results 231 to 240 of about 27,720 (266)
Some of the next articles are maybe not open access.
SSRN Electronic Journal, 2013
Abstract We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data.
David Rapach, Guofu Zhou
openaire +1 more source
Abstract We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data.
David Rapach, Guofu Zhou
openaire +1 more source
Manager Sentiment and Stock Returns
SSRN Electronic Journal, 2017Abstract This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2s of 9.75% and 8.38%, respectively, which is far greater than the ...
Fuwei Jiang +3 more
openaire +1 more source
Nonlinear Dynamics and Stock Returns
The Journal of Business, 1989Simple deterministic systems are capable of generating chaotic output that "mimics" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series.
Scheinkman, Jose A, LeBaron, Blake
openaire +1 more source
SSRN Electronic Journal, 2017
Standard deviations and market-betas based on winsorized rates of return predict their own future realizations better than equivalents based on unwinsorized rates of returns. A good prescription is to winsorize rates of return around plus and minus 10- 15%, especially for samples of all CRSP stocks.
openaire +1 more source
Standard deviations and market-betas based on winsorized rates of return predict their own future realizations better than equivalents based on unwinsorized rates of returns. A good prescription is to winsorize rates of return around plus and minus 10- 15%, especially for samples of all CRSP stocks.
openaire +1 more source
Stock Market Returns and Annuitization
SSRN Electronic Journal, 2010I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock market returns decrease the likelihood of employees choosing an annuity over a lump sum, and vice versa.
openaire +1 more source
2017
The issue of predicting equity returns is one of the most widely discussed topics infinancial economics. Yet no consensus exists on the fundamental questions: whetherpredictability exists and which variables show best predictive performance. Workingin a time series framework we employ the data used by Goyal and Welch (2008). Wefirst purpose to identify
openaire +1 more source
The issue of predicting equity returns is one of the most widely discussed topics infinancial economics. Yet no consensus exists on the fundamental questions: whetherpredictability exists and which variables show best predictive performance. Workingin a time series framework we employ the data used by Goyal and Welch (2008). Wefirst purpose to identify
openaire +1 more source
Stock market liberalization and innovation
Journal of Financial Economics, 2021Fariborz Moshirian +2 more
exaly
A local and global event sentiment based efficient stock exchange forecasting using deep learning
International Journal of Information Management, 2020Muazzam Maqsood +2 more
exaly
Machine learning in the Chinese stock market
Journal of Financial Economics, 2022Markus Leippold, Wenyu Zhou
exaly