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Econometric Modeling: Capital Markets - Forecasting eJournal

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Viewing: 1 - 50 of 1,214 papers

1.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 26 May 2015 Last Revised: 05 Aug 2015
Working Paper Series
Hull Investments LLC and SummerHaven Investment Management
Downloads 8,756
2.

Does Academic Research Destroy Stock Return Predictability?

Journal of Finance, Forthcoming
Number of pages: 48 Posted: 04 Oct 2012 Last Revised: 24 Feb 2016
Accepted Paper Series
Georgetown University - Department of Finance and Boston College - Department of Finance
Downloads 8,269
3.

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
Working Paper Series
New York University (NYU) - Department of Finance, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM

Multiple version iconThere are 4 versions of this paper

Downloads 7,816
4.

Classification-Based Financial Markets Prediction Using Deep Neural Networks

Algorithmic Finance, 2016.
Number of pages: 20 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Accepted Paper Series
Illinois Institute of Technology - Stuart School of Business, IIT, Northwestern University and Northwestern University
Downloads 5,342
5.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
Yale University and University of California, Los Angeles (UCLA) - Anderson School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,995
6.

Dissecting Investment Strategies in the Cross Section and Time Series

Number of pages: 31 Posted: 24 Nov 2015 Last Revised: 07 Dec 2015
Working Paper Series
Man Group, Man AHL, Duke University - Fuqua School of Business, Pimco Europe and Man AHL
Downloads 4,834
7.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 4,336
8.

On the Performance of Cyclically Adjusted Valuation Measures

Number of pages: 18 Posted: 24 Sep 2013 Last Revised: 22 Oct 2013
Working Paper Series
Alpha Architect and Alpha Architect
Downloads 4,319
9.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 18 Sep 2013
Accepted Paper Series
Ohio State University - Fisher College of Business, Finance Department, Duke University and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,013
10.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads 3,791
11.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 10 Jul 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 3,336
12.

Low-Frequency Traders in a High-Frequency World: A Survival Guide

Number of pages: 41 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,884
13.

Forecasting Equity Returns: An Analysis of Macro vs. Micro Earnings and an Introduction of a Composite Valuation Model

Number of pages: 55 Posted: 22 Feb 2013 Last Revised: 10 Feb 2015
Working Paper Series
String Advisors, Inc
Downloads 2,562
14.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Working Paper Series
Guggenheim Partners, LLC and University of Oxford - Mathematical Institute
Downloads 2,540
15.

Trading Strategies and Market Microstructure: Evidence from a Prediction Market

The Journal of Prediction Markets 10 (1), 1-29, 2016
Number of pages: 29 Posted: 09 Sep 2013 Last Revised: 04 Oct 2016
Accepted Paper Series
Microsoft Research - NYC and Columbia University, Barnard College - Department of Economics
Downloads 2,448
16.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 2,203
17.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,058
18.

The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds

Number of pages: 21 Posted: 31 Mar 2016
Working Paper Series
Massachusetts Institute of Technology, Sloan School of Management, Students and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,996
19.

Realized and Anticipated Macroeconomic Conditions Forecast Stock Returns

Number of pages: 48 Posted: 05 Mar 2013 Last Revised: 21 Nov 2014
Working Paper Series
Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 1,868
20.

The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns

Number of pages: 80 Posted: 09 May 2013 Last Revised: 16 Oct 2016
Working Paper Series
Pennsylvania State University, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads 1,857
21.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming
Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016
Accepted Paper Series
University of Liverpool, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,830
22.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 1,760
23.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 1,598
24.

Tail Risk and Asset Prices

Chicago Booth Research Paper No. 13-67
Number of pages: 55 Posted: 05 Sep 2013 Last Revised: 11 Jan 2014
Working Paper Series
University of Chicago - Finance and Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Downloads 1,451
25.

Decoding Stock Market with Quant Alphas

Journal of Asset Management (Forthcoming)
Number of pages: 20 Posted: 10 May 2017 Last Revised: 10 Aug 2017
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,446
26.

Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff

SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
Number of pages: 25 Posted: 21 Feb 2001
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 1,424
27.

The Cross Section of Expected Stock Returns

Forthcoming in Critical Finance Review, Tuck School of Business Working Paper No. 2511246
Number of pages: 41 Posted: 18 Oct 2014
Working Paper Series
Dartmouth College - Tuck School of Business
Downloads 1,381
28.
Downloads 1,373
29.

Forecasting ETFs with Machine Learning Algorithms

Number of pages: 26 Posted: 17 Jan 2017 Last Revised: 30 Jan 2017
Working Paper Series
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School (JHU), Students
Downloads 1,350
30.

Tactical MPT and Momentum: The Modern Asset Allocation (MAA)

Number of pages: 47 Posted: 31 Dec 2013
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads 1,308
31.

Option Return Predictability

27th Annual Conference on Financial Economics and Accounting Paper, Rotman School of Management Working Paper No. 2698267
Number of pages: 60 Posted: 06 Dec 2015 Last Revised: 06 Apr 2017
Working Paper Series
Chinese University of Hong Kong - Department of Finance, University of Toronto, Rotman School of Management, Singapore Management University - Lee Kong Chian School of Business and Erasmus University Rotterdam
Downloads 1,284
32.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 1,188
33.

Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide

Harvard Business School Accounting & Management Unit Working Paper No. 15-092
Number of pages: 60 Posted: 02 Jun 2015 Last Revised: 19 Jan 2016
Working Paper Series
University of Toronto - Rotman School of Management, Northwestern University - Kellogg School of Management and Harvard Business School
Downloads 1,128
34.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
Working Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Newcastle, Australia and Guggenheim Partners, LLC
Downloads 1,123
35.

What Do Accruals Tell Us About Future Cash Flows?

Review of Accounting Studies, Vol. 21, Pages 768-807, 2016
Number of pages: 64 Posted: 14 Mar 2016 Last Revised: 15 Aug 2016
Accepted Paper Series
Stanford University - Graduate School of Business, University of Melbourne - Department of Accounting and IDC Herzliya - Arison School of Business
Downloads 1,116
36.

Does It Pay to Bet Against Beta? On the Conditional Performance of the Beta Anomaly

Journal of Finance, Forthcoming
Number of pages: 92 Posted: 23 Apr 2013 Last Revised: 24 Jun 2015
Accepted Paper Series
University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 1,072
37.

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Swiss Finance Institute Research Paper No. 15-13
Number of pages: 72 Posted: 25 May 2015 Last Revised: 18 Oct 2017
Working Paper Series
University of Lausanne and Emory University - Department of Finance
Downloads 1,009
38.

Regime Shifts and Stock Return Predictability

Number of pages: 48 Posted: 04 Jun 2014 Last Revised: 31 Jan 2017
Working Paper Series
University of Zurich and Invesco
Downloads 1,006
39.

Can Warren Buffett Forecast Equity Market Corrections?

Number of pages: 39 Posted: 14 Jul 2015 Last Revised: 14 Jul 2017
Working Paper Series
NEOMA Business School and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,003
40.

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Journal of Alternative Investments, Vol. 16, No. 4, 2014
Number of pages: 6 Posted: 21 Nov 2013 Last Revised: 21 Jun 2014
Accepted Paper Series
University of Agder - School of Business and Law
Downloads 1,001
41.

PnL Prediction under Extreme Scenarios

Number of pages: 8 Posted: 20 Jun 2013
Working Paper Series
Bank of America Merrill Lynch
Downloads 999
42.

Why Do Enterprise Multiples Predict Expected Stock Returns?

Number of pages: 30 Posted: 05 Oct 2016 Last Revised: 04 May 2017
Working Paper Series
University of Houston, Alpha Architect, Alpha Architect and Alpha Architect
Downloads 978
43.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016
Working Paper Series
Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 971
44.

Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Guggenheim Partners, LLC, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 929
45.

Variance Risk Premia in Commodity Markets

Number of pages: 59 Posted: 04 Jan 2013 Last Revised: 07 Apr 2014
Working Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and ICMA Centre
Downloads 922
46.

Using Natural Language Processing Techniques for Stock Return Predictions

Number of pages: 54 Posted: 28 Mar 2017
Working Paper Series
University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of California, Berkeley, Haas School of Business, Financial Engineering, Students
Downloads 887
47.

A Test of Covariance Matrix Forecasting Methods

Journal of Portfolio Management, 215
Number of pages: 7 Posted: 20 Mar 2014 Last Revised: 26 Mar 2015
Accepted Paper Series
University of Agder - School of Business and Law
Downloads 877
48.

Disagreement in Economic Forecasts and Expected Stock Returns

Georgetown McDonough School of Business Research Paper No. 2407279
Number of pages: 61 Posted: 12 Mar 2014 Last Revised: 02 Jun 2017
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 876
49.

Political Sentiment and Predictable Returns

Number of pages: 72 Posted: 02 Nov 2012 Last Revised: 01 Mar 2016
Working Paper Series
Cornell University and University of Miami - School of Business Administration
Downloads 867
50.

Forecasting Corporate Bond Returns: An Iterated Combination Approach

Number of pages: 33 Posted: 28 Oct 2013 Last Revised: 23 Jun 2016
Working Paper Series
Victoria University of Wellington - School of Economics & Finance, State University of New York at Buffalo and Washington University in St. Louis - Olin School of Business
Downloads 863