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Testing The Predictability Of Stock Returns

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Cited by:

  1. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  2. Bianchi, Daniele & Tamoni, Andrea, 2016. "The dynamics of expected returns: evidence from multi-scale time series modelling," LSE Research Online Documents on Economics 118992, London School of Economics and Political Science, LSE Library.
  3. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
  4. Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Energy Economics, Elsevier, vol. 41(C), pages 137-146.
  5. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
  6. David McMillan & Alan Speight, 2006. "Non-linear long horizon returns predictability: evidence from six south-east Asian markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(2), pages 95-111, June.
  7. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2018. "Is stock return predictability time-varying?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 152-172.
  8. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
  9. Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
  10. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
  11. Stephan Smeekes & Joakim Westerlund, 2019. "Robust block bootstrap panel predictability tests," Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1089-1107, October.
  12. Fischer, Marcel & Kraft, Holger & Munk, Claus, 2013. "Asset allocation over the life cycle: How much do taxes matter?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2217-2240.
  13. David McMillan & Mark Wohar, 2013. "UK stock market predictability: evidence of time variation," Applied Financial Economics, Taylor & Francis Journals, vol. 23(12), pages 1043-1055, June.
  14. Devpura, Neluka & Narayan, Paresh Kumar & Sharma, Susan Sunila, 2019. "Structural instability and predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  15. David G McMillan, 2011. "Does the BEYR help predict UK sector returns?," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 146-156, June.
  16. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers w201126, Banco de Portugal, Economics and Research Department.
  17. Maynard, Alex & Shimotsu, Katsumi, 2009. "Covariance-Based Orthogonality Tests For Regressors With Unknown Persistence," Econometric Theory, Cambridge University Press, vol. 25(1), pages 63-116, February.
  18. Mr. Guy M Meredith, 2003. "Medium-Term Exchange Rate Forecasting: What Can We Expect?," IMF Working Papers 2003/021, International Monetary Fund.
  19. 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.
  20. Liyu Dou & Ulrich K. Müller, 2021. "Generalized Local‐to‐Unity Models," Econometrica, Econometric Society, vol. 89(4), pages 1825-1854, July.
  21. Guo, Hui & Savickas, Robert, 2006. "Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
  22. Ke-Li Xu & Junjie Guo, 2021. "A New Test for Multiple Predictive Regression," CAEPR Working Papers 2022-001 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  23. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
  24. Alsuhaibani, Waleed & Houmes, Robert & Wang, Daphne, 2023. "The evolution of financial reporting quality for companies listed on the Tadawul Stock Exchange in Saudi Arabia: New emerging markets' evidence," Emerging Markets Review, Elsevier, vol. 55(C).
  25. Alqahtani, Abdullah & Bouri, Elie & Vo, Xuan Vinh, 2020. "Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 239-249.
  26. Valkanov, Rossen, 2005. "Functional Central Limit Theorem approximations and the distribution of the Dickey-Fuller test with strongly heteroskedastic data," Economics Letters, Elsevier, vol. 86(3), pages 427-433, March.
  27. Campbell, John Y. & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
  28. Westerlund, Joakim & Narayan, Paresh, 2016. "Testing for predictability in panels of any time series dimension," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1162-1177.
  29. Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
  30. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, University Library of Munich, Germany.
  31. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
  32. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  33. 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.
  34. Khurshid M. Kiani, 2016. "On Modelling and Forecasting Predictable Components in European Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 487-502, October.
  35. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
  36. Coqueret, Guillaume & Deguest, Romain, 2024. "Unexpected opportunities in misspecified predictive regressions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 686-700.
  37. Michael Jansson & Marcelo J. Moreira, 2006. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Econometrica, Econometric Society, vol. 74(3), pages 681-714, May.
  38. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
  39. David McMillan & Mark Wohar, 2011. "Sum of the parts stock return forecasting: international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 21(12), pages 837-845.
  40. David G. McMillan, 2014. "Modelling Time‐Variation in the Stock Return‐Dividend Yield Predictive Equation," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 23(5), pages 273-302, December.
  41. Marekwica, Marcel & Stamos, Michael Z., 2010. "Optimal life cycle portfolio choice with housing market cycles," CFS Working Paper Series 2010/21, Center for Financial Studies (CFS).
  42. Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  43. Guillaume Coqueret & Romain Deguest, 2024. "Unexpected opportunities in misspecified predictive regressions," Post-Print hal-04595355, HAL.
  44. Brad S. Trinkle, 2005. "Forecasting annual excess stock returns via an adaptive network‐based fuzzy inference system," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 13(3), pages 165-177, July.
  45. Ventosa-Santaulària, Daniel & Noriega, Antonio E., 2015. "Long-run monetary neutrality under stochastic and deterministic trends," Economic Modelling, Elsevier, vol. 47(C), pages 372-382.
  46. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
  47. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
  48. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  49. Nikolaos Mitianoudis & Theologos Dergiades, 2016. "Stock Prices Predictability at Long-horizons: Two Tales from the Time-Frequency Domain," Discussion Paper Series 2016_04, Department of Economics, University of Macedonia, revised Dec 2016.
  50. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, vol. 10(1), pages 34-40.
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