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Predicting stock returns

Citations

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Cited by:

  1. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
  2. Leite, Paulo & Cortez, Maria Céu, 2014. "Style and performance of international socially responsible funds in Europe," Research in International Business and Finance, Elsevier, vol. 30(C), pages 248-267.
  3. Sevillano, María Caridad & Jareño, Francisco & López, Raquel & Esparcia, Carlos, 2024. "Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition," Energy Economics, Elsevier, vol. 131(C).
  4. Ayedi Ahmed & Marjène Gana & Stéphane Goutte & Khaled Guesmi, 2023. "Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS," Working Papers halshs-04068651, HAL.
  5. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
  6. Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
  7. Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2016. "Stock return predictability and determinants of predictability and profits," Emerging Markets Review, Elsevier, vol. 26(C), pages 153-173.
  8. Chan, Kam Fong & Gray, Philip & Gray, Stephen & Zhong, Angel, 2020. "Political uncertainty, market anomalies and Presidential honeymoons," Journal of Banking & Finance, Elsevier, vol. 113(C).
  9. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  10. Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
  11. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  12. Bork, Lasse & Kaltwasser, Pablo Rovira & Sercu, Piet, 2022. "Aggregation bias in tests of the commodity currency hypothesis," Journal of Banking & Finance, Elsevier, vol. 135(C).
  13. Yiannis Karavias & Stella Spilioti & Elias Tzavalis, 2021. "Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1593-1621, May.
  14. Francisco Peñaranda & Liuren Wu, 2022. "Targets, Predictability, and Performance," Management Science, INFORMS, vol. 68(2), pages 1537-1555, February.
  15. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2015. "Stock return forecasting: Some new evidence," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 38-51.
  16. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  17. Park, Heungju & Sohn, Bumjean, 2016. "Long-term perspective on the stock market matters in asset pricing," Finance Research Letters, Elsevier, vol. 16(C), pages 162-170.
  18. Chava, Sudheer & Hsu, Alex & Zeng, Linghang, 2020. "Does history repeat itself? Business cycle and industry returns," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 201-218.
  19. Chiah, Mardy & Phan, Dinh Hoang Bach & Tran, Vuong Thao & Zhong, Angel, 2022. "Energy price uncertainty and the value premium," International Review of Financial Analysis, Elsevier, vol. 81(C).
  20. French, Joseph J. & Taborda, Rodrigo, 2018. "Disentangling the relationship between liquidity and returns in Latin America," Global Finance Journal, Elsevier, vol. 36(C), pages 23-40.
  21. David Nawrocki & Tonis Vaga, 2014. "A bifurcation model of market returns," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 509-528, March.
  22. Huang, Alex YiHou, 2012. "Asymmetric dynamics of stock price continuation," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1839-1855.
  23. Lee, Jen-Sin & Huang, Gow-Liang & Kuo, Chin-Tai & Lee, Liang-Chien, 2012. "The momentum effect on Chinese real estate stocks: Evidence from firm performance levels," Economic Modelling, Elsevier, vol. 29(6), pages 2392-2406.
  24. Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
  25. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  26. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Lee, Wen-Yi & Lin, Shun-Ji, 2020. "Portfolio models with return forecasting and transaction costs," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 118-130.
  27. Moorman, Theodore, 2014. "An empirical investigation of methods to reduce transaction costs," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 230-246.
  28. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  29. Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013. "The cross section of conditional mutual fund performance in European stock markets," Journal of Financial Economics, Elsevier, vol. 108(3), pages 699-726.
  30. Andriyashin, Anton & Härdle, Wolfgang Karl & Timofeev, Roman, 2008. "Recursive portfolio selection with decision trees," SFB 649 Discussion Papers 2008-009, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  31. Feng, Guanhao & He, Jingyu, 2022. "Factor investing: A Bayesian hierarchical approach," Journal of Econometrics, Elsevier, vol. 230(1), pages 183-200.
  32. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  33. Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
  34. Jungah Yoon & Xinfeng Ruan & Jin E. Zhang, 2022. "VIX option‐implied volatility slope and VIX futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1002-1038, June.
  35. Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
  36. Narayan, Paresh Kumar & Ahmed, Huson Ali & Narayan, Seema, 2017. "Can investors gain from investing in certain sectors?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 160-177.
  37. Avramov, Doron & Kosowski, Robert & Naik, Narayan Y. & Teo, Melvyn, 2011. "Hedge funds, managerial skill, and macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 99(3), pages 672-692, March.
  38. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
  39. Kim, J.W. & Leatham, D.J. & Bessler, D.A., 2007. "REITs' dynamics under structural change with unknown break points," Journal of Housing Economics, Elsevier, vol. 16(1), pages 37-58, March.
  40. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
  41. Guanhao Feng & Jingyu He, 2019. "Factor Investing: A Bayesian Hierarchical Approach," Papers 1902.01015, arXiv.org, revised Sep 2020.
  42. Bangassa, Kenbata & Su, Chen & Joseph, Nathan L., 2012. "Selectivity and timing performance of UK investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1149-1175.
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