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Non-linear predictability in stock and bond returns: When and where is it exploitable?
16 references·11 citing·37 second hop
Non-linear predictability in stock and bond returns: When and where is it exploitable? (2009)Non-linear predictability in stock and bo…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Dividend yields and expected stock returns (1988)Dividend yields and expected …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Asset returns and inflation (1977)Asset returns and inflationOut-of-sample equity premium prediction: a complete subset quantile regression approach (2019)Out-of-sample equity premium …Forecasting market returns: bagging or combining? (2016)Forecasting market returns: b…Quantile Forecast Combinations in Realised Volatility Prediction (2015)Quantile Forecast Combination…Predictability dynamics of Islamic and conventional equity markets (2014)Predictability dynamics of Is…Modeling and forecasting interval time series with threshold models (2014)Modeling and forecasting inte…Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions (2014)Detecting predictable non-lin…Are CDS spreads predictable? An analysis of linear and non-linear forecasting models (2014)Are CDS spreads predictable? …A Quantile Regression Approach to Equity Premium Prediction (2014)A Quantile Regression Approac…Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy (2013)Selection of a Portfolio of P…The consumption-wealth ratio and asset returns : the Euro Area, the UK and the US (2010)The consumption-wealth ratio …Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable? (2008)Non-Linear Predictability in …MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 2012The Econometrics of Financial Markets5,875 cited
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  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2006Stock Return Predictability: Is it There?

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Cited by

  • 2013Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy69 cited
  • 2014Predictability dynamics of Islamic and conventional equity markets63 cited
  • 2014Modeling and forecasting interval time series with threshold models58 cited
  • 2014A Quantile Regression Approach to Equity Premium Prediction48 cited
  • 2016Forecasting market returns: bagging or combining?41 cited
  • 2014Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions38 cited
  • 2014Are CDS spreads predictable? An analysis of linear and non-linear forecasting models30 cited
  • 2019Out-of-sample equity premium prediction: a complete subset quantile regression approach28 cited
  • 2008Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable?27 cited
  • 2015Quantile Forecast Combinations in Realised Volatility Prediction25 cited
  • 2010The consumption-wealth ratio and asset returns : the Euro Area, the UK and the US25 cited