Journal ArticleDOI
Macro variables and international stock return predictability
Reads0
Chats0
TLDR
In this paper, the authors examined the predictability of stock returns using macroeconomic variables in 12 industrialized countries and employed recently developed out-of-sample tests that have increased power, namely, the McCracken [ Asymptotics for out-oftheoretic tests of Granger Causality, Manuscript, University of Missouri-Columbia (2004) and the West [ Econometrica 64 (1996) 1067] test for equal predictive ability.About:
This article is published in International Journal of Forecasting.The article was published on 2005-01-01. It has received 339 citations till now. The article focuses on the topics: Granger causality & Business statistics.read more
Citations
More filters
Book ChapterDOI
Forecasting Stock Returns
David E. Rapach,Guofu Zhou +1 more
TL;DR: In this paper, the authors survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts and illustrate key issues via an empirical application based on updated data.
Journal ArticleDOI
Instability of Return Prediction Models
TL;DR: This article examined evidence of instability in models of ex post predictable components in stock returns related to structural breaks in the coefficients of state variables such as the lagged dividend yield, short interest rate, term spread and default premium.
Journal ArticleDOI
Instability of return prediction models
Bradley S. Paye,Allan Timmermann +1 more
TL;DR: In this paper, the authors examine evidence of instability in models of ex post predictable components in stock returns related to structural breaks in the coefficients of state variables such as the lagged dividend yield, short interest rate, term spread and default premium.
Journal ArticleDOI
Predicting the bear stock market: Macroeconomic variables as leading indicators
TL;DR: In this article, the authors investigated whether macroeconomic variables can predict recessions in the stock market, i.e., bear markets, using both in-sample and out-of-sample tests of the variables' predictive ability.
Journal ArticleDOI
Does the choice of estimator matter when forecasting returns
TL;DR: In this article, the authors examined the role of the choice of estimator of the predictive regression in predicting future returns and found that returns are heteroskedastic, predictors are persistent, and regression errors are correlated with predictor innovations.
References
More filters
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Posted Content
Comparing Predictive Accuracy
TL;DR: The authors describes the advantages of these studies and suggests how they can be improved and also provides aids in judging the validity of inferences they draw, such as multiple treatment and comparison groups and multiple pre- or post-intervention observations.
Journal ArticleDOI
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
Journal ArticleDOI
An intertemporal capital asset pricing model
TL;DR: In this article, an intertemporal model for the capital market is deduced from portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
Posted Content
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Related Papers (5)
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
Ivo Welch,Amit Goyal +1 more