Evaluation of current research on stock return predictability
نویسندگان
چکیده
منابع مشابه
Stock Return Predictability: Evaluation based on prediction intervals
This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahead and dynamic) prediction intervals. Past studies have exclusively used point forecasts, which are of limited value since they carry no information about the intrinsic predictive uncertainty associated. We compare empirical performances of alternative prediction intervals for stock return generat...
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Empirical studies have suggested that stock returns can be predicted by financial variables such as the dividend-price ratio. However, these studies typically ignore the high persistence of predictor variables, which can make first-order asymptotics a poor approximation in finite samples. Using a more accurate asymptotic approximation, we propose two methods to deal with the persistence problem...
متن کاملThe Limits to Stock Return Predictability∗
We examine predictive return regressions from a new angle. We ask what observable univariate properties of returns tell us about the “predictive space” that defines the true predictive model: the triplet ¡ λ,R2 x, ρ ¢ , where λ is the predictor’s persistence, R2 x is the predictive R-squared, and ρ is the "Stambaugh Correlation" (between innovations in the predictive system). When returns are n...
متن کاملStock Return Predictability in a Monetary Economy
In an economy where agents hold money, the short interest rate determines the trade-off between money holdings and consumption. Building on this idea, we develop a theoretical model that shows the transmission mechanism through which the short rate finds its way to stock-return predictability regressions. We construct a cointegration relation that links share prices and dividends to the short i...
متن کاملInternational Stock Return Predictability under Model Uncertainty
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2019
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.2629