scholarly journals Stock Returns Predictability with Unstable Predictors

2022 ◽  
Author(s):  
Fabio Calonaci ◽  
George Kapetanios ◽  
Simon G. Price
Keyword(s):  
Stock Returns ◽  
Returns Predictability

Stock Prices, Inflation and Stock Returns Predictability

2004 ◽  
Author(s):  
Christophe Boucher
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Returns Predictability

scholarly journals Should stock returns predictability be ‘hooked on’ long‐horizon regressions?

2021 ◽  
Author(s):  
Theologos Dergiades ◽  
Panos K. Pouliasis
Keyword(s):  
Stock Returns ◽  
Returns Predictability

scholarly journals Long Run Returns Predictability and Volatility with Moving Averages

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 105 ◽  
Author(s):  
Chia-Lin Chang ◽  
Jukka Ilomäki ◽  
Hannu Laurila ◽  
Michael McAleer
Keyword(s):  
Financial Performance ◽  
Stock Returns ◽  
Moving Average ◽  
Long Run ◽  
Returns Predictability ◽  
Rolling Window ◽  
Risk Free Rate ◽  
Data Frequency ◽  
Predictability Of Returns ◽  
Free Rate

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It is found that performance improves, on average, when the rolling window is expanded and the data frequency is low. However, when the size of the rolling window reaches three years, the frequency loses its significance and all frequencies considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run. The procedure takes account of the issues of variable persistence as we use only returns in the analysis. Therefore, we use the performance of MA rules as an instrument for testing returns predictability in financial stock markets.

Stock Prices, Inflation and Stock Returns Predictability

Finance ◽  
2006 ◽  
Vol 27 (2) ◽  
pp. 71
Author(s):  
Christophe Boucher
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Returns Predictability

New technical indicators and stock returns predictability

2021 ◽  
Vol 71 ◽  
pp. 127-142 ◽  
Author(s):  
Zhifeng Dai ◽  
Huan Zhu ◽  
Jie Kang
Keyword(s):  
Stock Returns ◽  
Technical Indicators ◽  
Returns Predictability

Seeing is Believing: Annual Report 'Graphicity' and Stock Returns Predictability

2020 ◽  
Author(s):  
Xiaohu Deng ◽  
Lei Gao ◽  
Bo Hu ◽  
Guofu Zhou
Keyword(s):  
Stock Returns ◽  
Annual Report ◽  
Returns Predictability

scholarly journals Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India

SpringerPlus ◽  
2014 ◽  
Vol 3 (1) ◽  
Author(s):  
Gourishankar S Hiremath ◽  
Jyoti Kumari
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Returns Predictability

U.K. STOCK RETURNS: PREDICTABILITY AND BUSINESS CONDITIONS

2010 ◽  
Vol 63 (S1) ◽  
pp. 85-102 ◽  
Author(s):  
ANGELA BLACK ◽  
PATRICIA FRASER
Keyword(s):  
Stock Returns ◽  
Returns Predictability ◽  
Business Conditions
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