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Econometric Modeling: Capital Markets - Forecasting eJournal

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Viewing: 1 - 50 of 1,789 papers

1.

151 Trading Strategies

Z. Kakushadze and J.A. Serur. 151 Trading Strategies. Cham, Switzerland: Palgrave Macmillan, an imprint of Springer Nature, 1st Edition (2018), XX, 480 pp; ISBN 978-3-030-02791-9
Number of pages: 361 Posted: 13 Sep 2018 Last Revised: 16 Sep 2019
Accepted Paper Series
Quantigic Solutions LLC and University of CEMA
Downloads 38,981
2.

A Practitioner's Defense of Return Predictability

Number of pages: 37 Posted: 22 May 2019 Last Revised: 22 May 2019
Working Paper Series
Hull Investments LLC and Paraconic Technologies US Inc.
Downloads 13,223
3.

Carry

Fama-Miller Working Paper
Number of pages: 67 Posted: 26 Jul 2013 Last Revised: 01 Nov 2016
Working Paper Series
University of Chicago - Booth School of Business, Yale University, Yale SOM, AQR Capital Management, LLC and VU University Amsterdam, PGO-IM

Multiple version iconThere are 3 versions of this paper

Downloads 11,405
4.

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 9,662
5.

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, Northwestern University and Northwestern University
Downloads 9,156
6.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 8,327
7.

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 Group plc
Downloads 7,358
8.

Forecasting a Volatility Tsunami

Number of pages: 18 Posted: 11 Apr 2017
Working Paper Series
Independent
Downloads 7,052
9.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 6,026
10.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 5,671
11.

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 5,312
12.

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 4,783
13.

Return Predictability and Market-Timing: A One-Month Model

Journal Of Investment Management, 17.3 (2019):47-64.
Number of pages: 30 Posted: 10 Oct 2017 Last Revised: 07 Oct 2019
Working Paper Series
Hull Investments LLC, Paraconic Technologies US Inc. and Hull Tactical
Downloads 4,759
14.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Review of Financial Studies 28, 791-837, 2015
Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 4,392
15.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,359
16.

Ten Financial Applications of Machine Learning (Seminar Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 27 Feb 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,318
17.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 4,271
18.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 30 Oct 2019
Accepted Paper Series
Ohio State University (OSU) - Department of Finance, Duke University and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,260
19.

Macro vs. Micro Earnings, 'Macro-Earnings Negativity', and an Introduction to a Composite Valuation Model

Number of pages: 50 Posted: 22 Feb 2013 Last Revised: 26 May 2019
Working Paper Series
Independent
Downloads 3,940
20.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 3,659
21.

Decoding Stock Market with Quant Alphas

Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20 Posted: 10 May 2017 Last Revised: 09 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 3,586
22.

Quant Bust 2020

Number of pages: 29 Posted: 07 Apr 2020
Working Paper Series
Quantigic Solutions LLC
Downloads 3,408
23.

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

Quantitative Finance and Economics, 2 (1), 486-594 (2018), 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 3,318
24.

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
Texas A&M University - Department of Accounting, University of North Carolina Kenan-Flagler Business School and Yale School of Management
Downloads 3,284
25.

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 Technology Sydney (UTS) and Cornell University - Operations Research & Industrial Engineering
Downloads 3,058
26.

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, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,980
27.

Long Horizon Predictability: A Cautionary Tale

Number of pages: 21 Posted: 18 Mar 2018 Last Revised: 02 Aug 2018
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah, AQR Capital Management, LLC and New York University (NYU) - Department of Finance
Downloads 2,978
28.

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 and Columbia University, Barnard College - Department of Economics
Downloads 2,902
29.

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), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,851
30.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 2,632
31.

Deep Learning and the Cross-Section of Expected Returns

Number of pages: 56 Posted: 06 Dec 2017 Last Revised: 11 Dec 2017
Working Paper Series
University of St. Gallen
Downloads 2,567
32.

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?

Management Science, Forthcoming
Number of pages: 52 Posted: 23 May 2017
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,432
33.

Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?

Number of pages: 39 Posted: 24 Feb 2016
Working Paper Series
affiliation not provided to SSRN
Downloads 2,281
34.

Long-Horizon Returns

Chicago Booth Research Paper No. 17-17, Fama-Miller Working Paper
Number of pages: 28 Posted: 24 May 2017 Last Revised: 21 Nov 2017
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 2,183
35.

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 Square Macro

Multiple version iconThere are 2 versions of this paper

Downloads 2,172
36.

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 2,129
37.

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: 14 Jan 2018
Working Paper Series
The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Toronto, Rotman School of Management, School of Business, Renmin University of China and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 1,988
38.

Manager Sentiment and Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 21 Sep 2015 Last Revised: 13 Sep 2017
Working Paper Series
Central University of Finance and Economics (CUFE), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,952
39.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
Working Paper Series
University of Stirling
Downloads 1,911
40.

A Census of the Factor Zoo

Number of pages: 7 Posted: 18 Mar 2019 Last Revised: 25 Mar 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 1,819
41.

Using Natural Language Processing Techniques for Stock Return Predictions

Number of pages: 54 Posted: 15 Feb 2020
Working Paper Series
University of California, Berkeley, Haas School of Business, Financial Engineering, Students, University of California, Berkeley, Haas School of Business, Financial Engineering, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of California, Berkeley, Haas School of Business, Financial Engineering, Students
Downloads 1,779
42.

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 1,761
43.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,635
44.

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
Yale SOM and Erasmus University Rotterdam (EUR)

Multiple version iconThere are 2 versions of this paper

Downloads 1,617
45.

Predicting Returns with Text Data

Number of pages: 54 Posted: 04 Dec 2019
Working Paper Series
Harvard University, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,614
46.

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 1,599
47.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Working Paper Series
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,502
48.

Robust Measures of Earnings Surprises

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 29 Jul 2014 Last Revised: 06 May 2018
Accepted Paper Series
Independent, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Bendheim Center for Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Singapore Management University
Downloads 1,486
49.

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 1,466
50.

Betas, Benchmarks and Beating the Market

The Journal of Trading 13(3) (2018) 44-66
Number of pages: 36 Posted: 05 Jun 2018 Last Revised: 14 Jun 2019
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 1,465