A new test of asset return predictability with an unstable predictor
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109529
Abstract: Abstract This study constructs predictive regressions in which the predictable variable exhibits a level shift at some unknown date. We establish novel procedures to test asset return predictability via empirical likelihood (EL) methods based on… read more here.
Keywords: return predictability; asset return; test asset;
Optimal investment and consumption with return predictability and execution costs
Sign Up to like & getrecommendations! Published in 2020 at "Economic Modelling"
DOI: 10.1016/j.econmod.2019.09.051
Abstract: Abstract We provide a closed-form solution to an optimal investment and consumption problem for a constant absolute risk aversion (CARA) agent, who faces execution costs when trading correlated risky assets with return predictability. The optimal… read more here.
Keywords: execution costs; consumption; optimal investment; return predictability ... See more keywords
Stock return predictability in the time of COVID-19
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101705
Abstract: We examine predictive ability of a relatively large number of variables from currency, bond and commodity markets for US stock returns during the COVID-19 crisis. As a novel contribution, we estimate robust Lasso predictive regressions… read more here.
Keywords: stock return; predictability time; finance; return predictability ... See more keywords
Local demand shocks, excess comovement and return predictability
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2020.105910
Abstract: Abstract I investigate the importance of local demand shocks on excess comovements and return predictability for 4560 twin-pairs of Exchange-Traded Funds (ETFs) from 15 country-pairs. The returns on ETFs traded in the same country comove… read more here.
Keywords: return predictability; shocks excess; local demand; demand shocks ... See more keywords
Comovement and return predictability in asset markets: An experiment with two Lucas trees
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Economic Behavior and Organization"
DOI: 10.1016/j.jebo.2021.03.012
Abstract: Abstract Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees’ asset pricing model developed by Cochrane et al. (2007) guides our experimental… read more here.
Keywords: asset; predictability asset; return predictability; comovement return ... See more keywords
Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.04.057
Abstract: This study aims to examine return predictability in 24 emerging markets disaggregated in different regions. We propose four specifications, including a benchmark model. Then, an augmented model appropriate for each country, including a large set… read more here.
Keywords: predictability; predictability emerging; model; emerging markets ... See more keywords
Lagged country returns and international stock return predictability during business cycle recession periods
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics"
DOI: 10.1080/00036846.2020.1752899
Abstract: ABSTRACT This study examines stock return predictability in business cycle fluctuations across 17 developed countries and 26 developing countries over the period from January 1970 to December 2019. We uncover that lagged U.S. returns can… read more here.
Keywords: stock return; return predictability; predictability business; return ... See more keywords
Return Predictability and Market Efficiency: Evidence from the Bulgarian Stock Market
Sign Up to like & getrecommendations! Published in 2018 at "Eastern European Economics"
DOI: 10.1080/00128775.2018.1542601
Abstract: We applied three well-known technical indicators and one neglected indicator to the daily data for the Bulgarian Stock Index from November 21, 2003 to March 1, 2018. The results strongly support the predictive power of… read more here.
Keywords: bulgarian stock; risk; predictability market; market ... See more keywords
The Moderating Effect of Market-Specific Factors on the Return Predictability of Investor Sentiment
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DOI: 10.1177/21582440221114322
Abstract: This paper examines the return predictability of investor sentiment in 12 Asian and European markets during the period between 2004 and 2016. Employing the composite sentiment index constructed from the consumer confidence index (CCI), advance/decline… read more here.
Keywords: investor sentiment; sentiment; return predictability; market ... See more keywords
Put-call parity violations and return predictability: Evidence from the 2008 short sale ban
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Banking and Finance"
DOI: 10.2139/ssrn.1884119
Abstract: We show that the 2008 short-sale ban significantly enhanced the return predictability of put-call parity violations and attribute the significant increase in violations to stock over-valuation. The top quantile put-call parity violation portfolio under-performs the… read more here.
Keywords: return predictability; call parity; put call; ban ... See more keywords