This paper evaluates the predictability of monthly stock return using out-of- sample (multi-step ahead and dynamic) prediction intervals. Past studies have 4 Feb 2019 Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance. Tejosaputro, Klaudia Fraulein and Murhadi, Werner Ria We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely 18 Jun 2018 Next, examining return predictability, we discover that while option variables indeed predict stock returns, sentiment variables add further 13 Sep 2011 able to enhance stock return predictability when the ratios are combined in the multiple predictive regression model. Index Terms—Financial 20 Mar 2017 Awareness of the fact that stock returns are predictable does not specify to investors which components have predictive power (Let tau and
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence - Volume 49 Issue 3 - Tim Bollerslev, James Marrone, Lai Xu, Hao Zhou. Skip to main content. We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Payout Yields and Stock Return Predictability: How Important Is the Measure of Cash Flow? - Volume 52 Issue 4 - Gregory W. Eaton, Bradley S. Paye Predictability of Stock Returns: Robustness and Economic Significance M. HASHEM PESARAN AND ALLAN TIMMERMANN* ABSTRACT This article examines the robustness of the evidence on predictability of U.S. stock returns, and addresses the issue of whether this predictability could have been the stationarity of long-horizon returns, Lanne (2002) concludes that stock returns cannot be predicted by a highly persistent predictor variable. Building on the finite-sample theory of Stambaugh (1999), Lewellen (2004) finds some evidence for predictability with valuation ratios. Consistent with the prediction, both growth and value stock returns correlate negatively with disagreement, and the effect is stronger for growth stocks. A one-standard-deviation increase in disagreement is associated with a reduction in ex post one-year growth (value) stock return by 8.17% (2.58%). From the average slopes, the paper then goes to examine how well these can be used, with the current characteristics of the firm, to predict future stock returns. From the abstract, the paper finds that “Empirically, the forecasts vary substantially across stocks and have strong predictive power for actual returns.”
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence - Volume 49 Issue 3 - Tim Bollerslev, James Marrone, Lai Xu, Hao Zhou. Skip to main content. We use cookies to distinguish you from other users and to provide you with a better experience on our websites.
18 Nov 2019 Evidence from Stock Return Predictability* stock returns (across all stocks), the trading strategy is more profitable during periods of high Investor sentiment and stock return predictability: The power of ignorance; Suivre cet auteur Catherine D'Hondt et Suivre cet auteur Patrick Roger; Dans Finance 1In this article, we provide new evidence of the out-of-sample predictability of stock returns. We assume a time-varying risk premium which can be expressed as
20 Mar 2017 Awareness of the fact that stock returns are predictable does not specify to investors which components have predictive power (Let tau and
Temporary fluctuations of the U.S. consumption-wealth ratio, cay, predict excess returns on international stock markets at the business cycle frequency. This finding Two problems, spurious regression bias and naïve data mining, conspire to mislead analysts about predictive models for stock returns. This article demonstrates
the stationarity of long-horizon returns, Lanne (2002) concludes that stock returns cannot be predicted by a highly persistent predictor variable. Building on the finite-sample theory of Stambaugh (1999), Lewellen (2004) finds some evidence for predictability with valuation ratios.
with the average IV, and these variables have similar predictive power for stock returns. Keywords: Stock Return Predictability, Average Idiosyncratic Variance, Lamont (1998) argues that the earnings yield has independent forecasting power for excess stock returns in addition to the dividend yield. When we examine the We improve volatility forecasts using Google's daily internet search volume index. •. We demonstrate that the sign of S&P 500 stock returns can be predictable. However, within the view that asset returns are predictable, there are problems relating to the performance of the prediction models. Welch and Goyal (2008) find Stock Return Predictability regression provides a rather poor proxy to true expected returns. How- ever, using both the short rate and dividend yield considerably