The Log-Linear Return Approximation, Bubbles, and Predictability
نویسندگان
چکیده
منابع مشابه
Reconciling the Return Predictability Evidence
Evidence of stock-return predictability by financial ratios is still controversial, as documented by inconsistent results for in-sample and out-of-sample regressions and by substantial parameter instability. This article shows that these seemingly incompatible results can be reconciled if the assumption of a fixed steady state mean of the economy is relaxed. We find strong empirical evidence in...
متن کاملon the effect of linear & non-linear texts on students comprehension and recalling
چکیده ندارد.
15 صفحه اولElusive Return Predictability∗
Investors’ search for successful forecasting models leads the data generating process for financial returns to change over time which means that individual return forecasting models can at best hope to uncover evidence of ‘local’ predictability. We illustrate this point on a suite of forecasting models used to predict US stock returns and propose an adaptive forecast combination approach. Most ...
متن کاملBreaks in Return Predictability
We propose a new approach to forecasting stock returns in the presence of structural breaks that simultaneously affect the parameters of multiple portfolios. Exploiting information in the cross-section increases our ability to identify breaks in return prediction models and enables us to detect breaks more rapidly in real time, thereby allowing the parameters of the predictive return regression...
متن کاملState-Switching Return Predictability
Return predictability may be hidden from view if the same information has different meanings at different times, especially if information is good news in one state but bad news in another. We illustrate, using price changes in industrial metals, how conclusions on stock market return predictability vary with the number of expansions and contractions in our sample. We also show how state-switch...
متن کاملذخیره 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 Financial and Quantitative Analysis
سال: 2012
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109012000191