Return Explanatory Ability and Predictability of Non-Linear Market Models

on the effect of linear & non-linear texts on students comprehension and recalling

چکیده ندارد.

Financial Economics, Return Predictability and Market Efficiency

Market Closure , Liquidity Premia , and Return Predictability ∗

In his seminal work, Constantinides (1986) finds that transaction cost has only a second order effect on liquidity premia. In this paper, we show that incorporating the well-established time-varying return dynamics across trading and nontrading periods can produce a first order effect that is much greater than that found by the existing literature and comparable to empirical evidence. Surprisin...

Commodity Market Interest and Asset Return Predictability ∗

We establish several new findings on the relation between open interest in commodity markets and asset returns. High commodity market activity, as measured by high open-interest growth, predicts high commodity returns and low bond returns. Openinterest growth is a more powerful and robust predictor of commodity returns than other known predictors such as the short rate, the yield spread, the ba...

Stock-Return Predictability and Asset Pricing Models

The regression of stock returns on predictive variables, such as dividend yield, has proven useful in optimal portfolio selection when investment opportunities are timevarying. Conditional versions of factor models impose a restriction on that regression, thereby implying a particular portfolio choice. The study examines several pricing models from a perspective of conditional mean-variance opt...