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Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick
16 references·0 citing·40 second hopsampled
Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick (2025)Forecasting stock returns: the role of VI…Manager sentiment and stock returns (2018)Manager sentiment and stock r…Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Arbitrage Asymmetry and the I…Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Investor Sentiment Aligned: A…Aggregate Short Interest and Return Predictability (2014)Aggregate Short Interest and …Market Expectations in the Cross‐Section of Present Values (2013)Market Expectations in the Cr…Predictive regressions with time-varying coefficients (2012)Predictive regressions with t…Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting the Equity Risk P…Forecasting stock market returns: The sum of the parts is more than the whole (2011)Forecasting stock market retu…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Financial Markets and the Real Economy (2005)Financial Markets and the Rea…Stock market volatility and the business cycle (1996)Stock market volatility and t…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Tail risk premia and return predictability (2015)A Theory of Cognitive Dissonance (2017)Forecasting: theory and practice (2022)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)To Explain or to Predict? (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)The General Theory of Employment, Interest and Money. (1936)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Forecasting Stock Returns (2013)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Dividend yields and expected stock returns (1988)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)Noise Trader Risk in Financial Markets (1990)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Attention and Stock Returns (2018)Geopolitical risk and oil volatility: A new insight (2019)Can ChatGPT forecast stock price movements? Return predictability and large language models (2026)Mispricing Factors (2016)Common Risk Factors in Cryptocurrency (2019)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns1,129 cited
  • 2011Forecasting the Equity Risk Premium: The Role of Technical Indicators1,020 cited
  • 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle955 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 2018Manager sentiment and stock returns741 cited
  • 2008Striking oil: Another puzzle?616 cited
  • 2013Market Expectations in the Cross‐Section of Present Values577 cited
  • 2014Aggregate Short Interest and Return Predictability573 cited
  • 2005Financial Markets and the Real Economy572 cited
  • 2012Predictive regressions with time-varying coefficients557 cited

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  • 2011Forecasting stock market returns: The sum of the parts is more than the whole536 cited
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