Stock Return Forecasting: A Supervised PCA With Selecting and Scaling
Sign Up to like & getrecommendations! Published in 2025 at "Journal of Forecasting"
DOI: 10.1002/for.70050
Abstract: This paper proposes a sparse scaled principal component analysis (PCA) to forecast stock returns. The sparse scaled PCA is a modification to the common PCA by first selecting the important predictors and then scaling the… read more here.
Keywords: sparse scaled; supervised pca; scaled pca; stock return ... See more keywords
Stock return predictability and Taylor rules
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DOI: 10.1002/rfe.1215
Abstract: This paper evaluates stock return predictability with inflation and output gap, which typically enter the Federal Reserve Bank's interest rate setting rule. We introduce Taylor rule fundamentals into the Fed model that relates stock returns… read more here.
Keywords: taylor; taylor rule; stock; return predictability ... See more keywords
Retail investor attention and stock return volatility: The moderating role of ownership concentration in China
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DOI: 10.1002/rfe.70008
Abstract: We examine how ownership concentration (OC) moderates the relationship between retail investor attention and stock return volatility. We use the aggregate search frequency from the Baidu search index and the shareholding of the largest 10… read more here.
Keywords: investor attention; stock return; retail investor; investor ... See more keywords
Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach
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DOI: 10.1007/s10614-016-9596-x
Abstract: The paper revisits the question of how stock return comovement varies with volatility and market returns. I propose an eigenvalue-based measure of comovement implied by the state-dependent correlation matrix estimated using a novel multivariate semi-Markov-switching… read more here.
Keywords: markov switching; stock return; comovement;
Investment styles and the multiple testing of cross-sectional stock return predictability
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2020.100598
Abstract: Abstract The scheme of simultaneously testing many profitable strategies may conceal the hazard of data-snooping bias. However, certain portfolio returns are also more likely to exhibit codependency because of their same investment styles. Aiming at… read more here.
Keywords: investment styles; stock return; multiple testing;
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
Economic constraints and stock return predictability: A new approach
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.02.007
Abstract: Abstract In this paper, we propose a new approach to impose economic constraints on the time-series forecasts of stock return. It is unlikely or risky for a rational investor to rely on forecast outliers to… read more here.
Keywords: economic constraints; new approach; approach; constraint ... See more keywords
Stock return ignorance
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.06.016
Abstract: Abstract Optimal stock investment decisions rely on assessments of the distribution of expected returns. Using a representative sample, we find over half the US population cannot answer simple questions on expected stock returns. Respondents who… read more here.
Keywords: stock return; return ignorance; return; stock ... See more keywords
Credit derivatives and stock return synchronicity
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Financial Stability"
DOI: 10.1016/j.jfs.2016.12.006
Abstract: The role of credit default swaps (CDS) in the 2008 financial crisis has been widely debated among regulators, investors, and researchers. While CDS were blamed for destabilizing the financial system, they remain effective tools for… read more here.
Keywords: credit; synchronicity; stock return; firm specific ... See more keywords
Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asset Management"
DOI: 10.1057/s41260-017-0044-9
Abstract: Idiosyncratic volatility generates a lot of interest in literature, as there are conflicting evidences regarding the relationship between stocks’ idiosyncratic volatility and future returns. In this paper, we re-investigate this relationship. We argue that the… read more here.
Keywords: quality; volatility; idiosyncratic volatility; stock return ... 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