Stock return forecasting: Some new evidence
暂无分享,去创建一个
Paresh Kumar Narayan | Susan Sunila Sharma | P. Narayan | S. Sharma | D. Phan | Dinh Hoang Bach Phan
[1] Jiang Wang,et al. Dynamic Volume-Return Relation of Individual Stocks , 2000 .
[2] F. Diebold,et al. Comparing Predictive Accuracy , 1994, Business Cycles.
[3] Guofu Zhou,et al. Out-of-Sample Industry Return Predictability: Evidence from A Large Number of Predictors , 2011 .
[4] P. Narayan,et al. Can institutions and macroeconomic factors predict stock returns in emerging markets , 2014 .
[5] P. Narayan,et al. Do momentum-based trading strategies work in the commodity futures markets? , 2015 .
[6] P. Narayan,et al. Testing for stock return predictability in a large Chinese panel , 2015 .
[7] R. Banz,et al. The relationship between return and market value of common stocks , 1981 .
[8] S. B. Thompson,et al. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? , 2008 .
[9] Gregory Connor,et al. An Intertemporal Equilibrium Beta Pricing Model , 1989 .
[10] P. Narayan,et al. Stock returns, mutual fund flows and spillover shocks , 2014 .
[11] Leonard J. Tashman,et al. Out-of-sample tests of forecasting accuracy: an analysis and review , 2000 .
[12] Alexander W. Butler,et al. Can Managers Forecast Aggregate Market Returns? , 2003 .
[13] M. Arouri,et al. Does crude oil move stock markets in Europe? A sector investigation ☆ , 2011 .
[14] Joakim Westerlund,et al. Does the choice of estimator matter when forecasting returns , 2012 .
[15] E. Fama,et al. The Cross‐Section of Expected Stock Returns , 1992 .
[16] Volume-volatility relationships for crude oil futures markets , 1995 .
[17] Charles M. Jones,et al. OIL AND THE STOCK MARKETS , 1996 .
[18] James D. Hamilton. Oil and the Macroeconomy since World War II , 1983, Journal of Political Economy.
[19] Chao Wei,et al. Energy, the stock market and the putty-clay investment model , 2001 .
[20] I. Mathur,et al. Central bank intervention and trading rule profits in foreign exchange markets , 1997 .
[21] I. Mathur,et al. A comprehensive look at the efficacy of technical trading rules applied to cross-rates , 1996 .
[22] Campbell R. Harvey,et al. The Variation of Economic Risk Premiums , 1990, Journal of Political Economy.
[23] Frode Sættem,et al. Causal relations among stock returns and macroeconomic variables in a small, open economy , 1999 .
[24] P. Narayan,et al. Are Indian stock returns predictable , 2015 .
[25] P. Clark. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , 1973 .
[26] M. Firth,et al. The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility , 2001 .
[27] I. Mathur,et al. Trading rule profits in european currency spot cross-rates , 1996 .
[28] Michael S. Rozeff. Dividend yields are equity risk premiums , 1984 .
[29] Jonathan M. Karpoff. The Relation between Price Changes and Trading Volume: A Survey , 1987, Journal of Financial and Quantitative Analysis.
[30] Perry Sadorsky. Oil price shocks and stock market activity , 1999 .
[31] Robert Whitelaw,et al. The Myth of Long-Horizon Predictability , 2005 .
[32] C. Nelson,et al. Predictable Stock Returns: The Role of Small Sample Bias , 1993 .
[33] E. Fama,et al. Dividend yields and expected stock returns , 1988 .
[34] Jeffrey Pontiff,et al. Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments from , 1998 .
[35] Guofu Zhou,et al. Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy , 2009 .
[36] P. Narayan,et al. A Random Coefficient Approach to the Predictability of Stock Returns in Panels , 2015 .
[37] Andrew Ang,et al. Stock Return Predictability: Is it There? , 2001 .
[38] Susan Sunila Sharma,et al. Oil price and stock returns of consumers and producers of crude oil , 2015 .
[39] Guofu Zhou,et al. Forecasting the Equity Risk Premium: The Role of Technical Indicators , 2011, Manag. Sci..
[40] Stijn Van Nieuwerburgh,et al. Reconciling the Return Predictability Evidence , 2006 .
[41] E. Fama. Stock Returns, Real Activity, Inflation, and Money , 1981 .
[42] Guofu Zhou,et al. Predicting Market Components Out of Sample: Asset Allocation Implications , 2011, The Journal of Portfolio Management.
[43] Susan Sunila Sharma,et al. New evidence on oil price and firm returns , 2011 .
[44] B. Jacobsen,et al. Striking Oil: Another Puzzle? , 2003 .
[45] R. Ball. Anomalies in relationships between securities' yields and yield-surrogates , 1978 .
[46] Todd E. Clark,et al. Tests of Equal Forecast Accuracy and Encompassing for Nested Models , 1999 .
[47] Charles M. Jones,et al. Transactions, Volume, and Volatility , 1994 .
[48] George Tauchen,et al. THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS , 1983 .
[49] J. Isaac Miller,et al. Crude oil and stock markets: Stability, instability, and bubbles ☆ , 2009 .
[50] P. Bossaerts,et al. Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? , 1999 .
[51] W. Poon,et al. Do Oil Prices Predict Economic Growth? New Global Evidence , 2013 .
[52] Todd E. Clark,et al. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models , 2005 .
[53] M. Wohar,et al. Macro variables and international stock return predictability , 2005 .
[54] C. Aloui,et al. Assessing the impacts of oil price fluctuations on stock returns in emerging markets , 2012 .
[55] Chris Kirby. The Restrictions on Predictability Implied by Rational Asset Pricing Models , 1998 .
[56] R. Shiller,et al. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .
[57] Susan Sunila Sharma,et al. Firm return volatility and economic gains: The role of oil prices , 2014 .
[58] Michael W. McCracken. Asymptotics for out of sample tests of Granger causality , 2007 .
[59] K. West,et al. Asymptotic Inference about Predictive Ability , 1996 .
[60] Yihong Xia,et al. tay's as good as cay , 2005 .
[61] Jot Yau,et al. Trading volume, bid–ask spread, and price volatility in futures markets , 2000 .
[62] Tarun Chordia,et al. Predicting Stock Returns , 2005 .
[63] Marno Verbeek,et al. The Economic Value of Predicting Stock Index Returns and Volatility , 2001, Journal of Financial and Quantitative Analysis.
[64] Owen A. Lamont. Earnings and Expected Returns , 1996 .
[65] Jungseok Park,et al. Oil price shocks and stock markets in the U.S. and 13 European countries , 2008 .
[66] S. Ross,et al. Economic Forces and the Stock Market , 1986 .
[67] M. Lettau,et al. Reconciling the Return Predictability EvidenceThe Review of Financial Studies: Reconciling the Return Predictability Evidence , 2008 .
[68] Ronald W. Masulis,et al. Energy Shocks and Financial Markets , 1996 .
[69] P. Narayan,et al. Does data frequency matter for the impact of forward premium on spot exchange rate , 2015 .
[70] P. Narayan,et al. An analysis of commodity markets: What gain for investors? , 2013 .
[71] R. Stambaugh,et al. Arbitrage pricing with information , 1983 .
[72] Seema Narayan,et al. Modelling the impact of oil prices on Vietnam’s stock prices , 2010 .
[73] Duc Khuong Nguyen,et al. Return and volatility transmission between world oil prices and stock markets of the GCC countries , 2011 .
[74] Thomas E. Copeland,et al. A Model of Asset Trading under the Assumption of Sequential Information Arrival , 1976 .
[75] Joakim Westerlund,et al. Testing for Predictability in Conditionally Heteroskedastic Stock Returns , 2015 .
[76] I. Welch,et al. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II , 2004, SSRN Electronic Journal.
[77] J. Campbell. Stock Returns and the Term Structure , 1985 .
[78] E. Fama,et al. BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS , 1989 .
[79] R. Shiller,et al. Stock Prices, Earnings and Expected Dividends , 1988 .
[80] S. Kothari,et al. Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis , 1997 .
[81] J. Lewellen,et al. Predicting Returns with Financial Ratios , 2002 .