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Non-linear forecasting of stock returns: Does volume help? · Study

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ArticleNon-linear forecasting of stock returns: Does volume help?

David G. McMillan2007

Article2007

Non-linear forecasting of stock returns: Does volume help?

David G. McMillan

44 citations·0/0 files stored·International Journal of Forecasting

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

2012The Econometrics of Financial Markets n.d.A model of investor sentiment /1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets 1994Automatic Lag Selection in Covariance Matrix Estimation 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 1987The Relation Between Price Changes and Trading Volume: A Survey 1993Trading Volume and Serial Correlation in Stock Returns 1998Liquidity and stock returns: An alternative test

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2020Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?2018The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach 2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?2020Nonlinearity matters: The stock price – trading volume relation revisited

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Year2007

Typearticle

Published2007-01-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations44

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.ijforecast.2006.06.002

openalex_workW1976906381

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