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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
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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
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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.
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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.
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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.
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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
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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
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Stock-Bond Return Dynamics and the Expected Country Stock Returns
SSRN Electronic JournalStock and bond prices of a country move together with increasing country-specific risk. Bonds effectively hedge growth expectation risk when country-specific risk is low, resulting in a negative stock-bond correlation. However, as country-specific risk increases, hedging is less effective because (1) rising domestic prices tend to reduce a country’s ...
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, 1984 Global warming impairs stock–recruitment dynamics of corals
Nature, 2019Terry P Hughes +2 more
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Investor Sentiment and the Cross-Section of Stock Returns
Journal of Finance, 2006Malcolm Baker
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