计量经济分析 = Econometric analysis

Investor Psychology and Security Market Under- and Overreactions

Investors face numerous challenges when seeking to estimate the prospective performance of a longonly investment in commodity futures. For instance, historically, the average annualized excess retu...

The Strategic and Tactical Value of Commodity Futures

International Momentum Strategies

Neural networks are used in business organizations for providing intelligent decision support. The ABI/Inform bibliographic database has over 1 000 publications on business-related research in neur...

A bibliometric analysis

Using a large sample of countries and 60 years of data, the authors found a strong and intuitive link between demographic transitions and both GDP growth and capital market returns. Unlike previous researchers, who used ad hoc and restrictive demographic variables, the authors imposed a smooth and parsimonious polynomial curve across all age groups. They also performed robustness checks and produced forecasts for the coming decade, with all the necessary caveats. View a webinar of this article.

Demographic Changes, Financial Markets, and the Economy

T he significance of earnings in stock price behavior has been demonstrated repeatedly. Elton and Gruber have demonstrated that the knowledge of true earnings is highly profitable. Furthermore, they have shown that knowledge of the future consensus for earnings is still more profitable.'*2 Unfortunately, we cannot know in advance what future earnings or future consensus earnings estimates will be. As a result, several questions deserve our attention. Can traditional earnings momentum based on consensus'EPS forecasts help us to select superior investments? Do stocks that we expect to have sharply improved earnings offer superior performance? How much can perfect foresight of future earnings help us? If we know the answer to these questions, we will also know how much we can be helped by superior research, which yields good but not perfect foresight. Our questions do not end here, however. How valuable is it to know where consensus earnings estimates are headed? Is it more productive for analysts to forecast future estimates than to forecast earnings per se? Can past trends in consensus lead to earnings estimates that are superior to consensus? Can we forecast future consensus estimates by extrapolating past trends in the consensus? If so, how much of this information is already reflected in stock prices? To answer these questions, I use I/B/E/S3 consensus earnings estimates covering some 700

The use and misuse of consensus earnings

Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost expectations, and other concerns. Second, for investors using naive risk management tools, factor returns can experience downside shocks far larger than would be expected. Finally, investors are often led to believe their factor portfolio is diversified. Diversification can vanish, however, in certain economic conditions when factor returns become much more correlated. Factor investing is a powerful tool, but understanding the risks involved is essential before adopting this investment framework.

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost expectations, and other concerns. Second, for investors using naive risk management tools, factor returns can experience downside shocks far larger than would be expected. Finally, investors are often led to believe their factor portfolio is diversified. Diversification can vanish, however, in certain economic conditions, when factor returns become much more correlated. Factor investing is a powerful tool, but understanding the risks involved is essential before adopting this investment framework.

Demographic patterns presage unprecedented pressure on U.S. asset values, Social Security policies, and intergenerational amity.

https://www.jstor.org/stable/pdfplus/4480463.pdf

Robert D. Arnott

Papers

Demographic Changes, Financial Markets, and the Economy

The use and misuse of consensus earnings

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing

Demographics and Capital Market Returns