What is stock return predictability
13 Sep 2011 able to enhance stock return predictability when the ratios are combined in the multiple predictive regression model. Index Terms—Financial 20 Mar 2017 Awareness of the fact that stock returns are predictable does not specify to investors which components have predictive power (Let tau and the earnings yield for excess returns and cashflows. Section 8 concludes and briefly discusses a number of contemporaneous papers on stock return predictability. It appears that the literature is converging to a new consensus, substantially different from the old view. 2 Data We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. stock returns as a proxy for the state variables. Fama (1991) has emphasized the importance of establishing a link between the time-series and cross-sectional stock return predictability. Thus, imposing the ICAPM restriction makes our specification less vulnerable to data mining, although it cannot be ruled out completely.
18 Nov 2019 Evidence from Stock Return Predictability* stock returns (across all stocks), the trading strategy is more profitable during periods of high
with the average IV, and these variables have similar predictive power for stock returns. Keywords: Stock Return Predictability, Average Idiosyncratic Variance, Lamont (1998) argues that the earnings yield has independent forecasting power for excess stock returns in addition to the dividend yield. When we examine the We improve volatility forecasts using Google's daily internet search volume index. •. We demonstrate that the sign of S&P 500 stock returns can be predictable. However, within the view that asset returns are predictable, there are problems relating to the performance of the prediction models. Welch and Goyal (2008) find
The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions.
18 Nov 2019 Evidence from Stock Return Predictability* stock returns (across all stocks), the trading strategy is more profitable during periods of high Investor sentiment and stock return predictability: The power of ignorance; Suivre cet auteur Catherine D'Hondt et Suivre cet auteur Patrick Roger; Dans Finance
4 Feb 2019 Stock Return Predictability by using Market Ratio, Trading Volume, and Stock Variance. Tejosaputro, Klaudia Fraulein and Murhadi, Werner Ria
predictability of U.S. stock returns, explicitly accounting for the forecasting uncertainty faced by investors who only have access to historical information. Rather than assuming that investors somehow historically knew that a spe- Rapach, David and Strauss, Jack and Zhou, Guofu, International Stock Return Predictability: What is the Role of the United States? (May 22, 2012). Journal of Finance, Forthcoming. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. Lamont (1998) argues that the earnings yield has independent forecasting power for excess stock returns in addition to the dividend yield. When we examine the predictive power of the earnings yield for both returns and cash flows, we find only weak evidence for Lamont’s excess return predictability results. It’s the most wonderful time of the year — when investment gurus unveil their predictions for what the stock market will return in the coming year. We investigate lead‐lag relationships among monthly country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non‐U.S. industrialized countries, while lagged non‐U.S. returns display limited predictive ability with respect to U.S. returns. We now use the excess stock return on the left hand side of our regressions, which we calculate by subtracting the short-term interest rate from the stock return. We thus re-estimate our model by subtracting eq. from eq. . The results are presented in Table 3. The significance of the short term interest rate improves across countries when
We now use the excess stock return on the left hand side of our regressions, which we calculate by subtracting the short-term interest rate from the stock return. We thus re-estimate our model by subtracting eq. from eq. . The results are presented in Table 3. The significance of the short term interest rate improves across countries when
Rapach, David and Strauss, Jack and Zhou, Guofu, International Stock Return Predictability: What is the Role of the United States? (May 22, 2012). Journal of Finance, Forthcoming. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. Lamont (1998) argues that the earnings yield has independent forecasting power for excess stock returns in addition to the dividend yield. When we examine the predictive power of the earnings yield for both returns and cash flows, we find only weak evidence for Lamont’s excess return predictability results.
Investor sentiment and stock return predictability: The power of ignorance; Suivre cet auteur Catherine D'Hondt et Suivre cet auteur Patrick Roger; Dans Finance 1In this article, we provide new evidence of the out-of-sample predictability of stock returns. We assume a time-varying risk premium which can be expressed as