Forecasting Fundamental Asset Return Distributions and Tests for Excess Volatility and Bubbles
AbstractThis paper develops an augmented Artificial Neural Network forecast-simulation procedure for estimating both the current fundamental price of a financial asset and the state-dependent distribution (including volatilities) from which future returns will be fundamentally drawn. The results provide an improved method for valuing assets, such as stocks and stock options,and suggest new applications of tests for excess volatility and bubbles in asset prices.
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Bibliographic InfoPaper provided by Department of Economics, Simon Fraser University in its series Discussion Papers with number dp96-02.
Length: 37 pages
Date of creation: 1996
Date of revision:
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Postal: Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Web page: http://www.sfu.ca/economics.html
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Postal: Working Paper Coordinator, Department of Economics, Simon Fraser University, 8888 University Drive, Burnaby, BC, V5A 1S6, Canada
Find related papers by JEL classification:
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- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913-
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- Lucy Ackert & William Hunter, 2001.
"An Empirical Examination of the Price-Dividend Relation with Dividend Management,"
Journal of Financial Services Research,
Springer, vol. 19(2), pages 115-129, April.
- Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series WP-00-22, Federal Reserve Bank of Chicago.
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