International volatility risk and Chinese stock return predictability

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

International 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...

متن کامل

International 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...

متن کامل

Predictability of Stock Return and Volatility: A Factor Based Approach

Using factor based approaches, we investigate a return and volatility forecasting procedure that exploits all the available information by still keeping the econometric framework at considerable size. Our findings demonstrate that factor based approaches provide substantial gains when predicting the sign of the excess returns and state of the volatility separately as well as jointly. A striking...

متن کامل

Predictability of Stock Return Volatility from GARCH Models

This paper focuses on the performance of various GARCH models in terms of their ability of delivering volatility forecasts for stock return data. Volatility forecasts obtained from a variety of mean and variance specifications in GARCH models are compared to a proxy of actual volatility calculated using daily data. In-sample tests suggest that a regression of volatility estimates on actual vola...

متن کامل

Stock Return and Cash Flow Predictability: The Role of Volatility Risk∗

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance risk premium positively forecast both short-horizon returns and dividend growth rates. We also conf...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of International Money and Finance

سال: 2017

ISSN: 0261-5606

DOI: 10.1016/j.jimonfin.2016.08.007