IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for " Economic Significance of Predictable Variations in Stock Index Returns"

by Breen, William & Glosten, Lawrence R & Jagannathan, Ravi

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Siddique, Akhtar R., 2003. "Common asset pricing factors in volatilities and returns in futures markets," Journal of Banking & Finance, Elsevier, vol. 27(12), pages 2347-2368, December.
  2. Pesaran, M. Hashem, 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," IZA Discussion Papers 5037, Institute for the Study of Labor (IZA).
  3. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
  4. Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012. "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, vol. 116(1), pages 72-74.
  5. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1530-1540, June.
  6. Andrew W. Lo & A. Craig MacKinlay, 1995. "Maximizing Predictability in the Stock and Bond Markets," NBER Working Papers 5027, National Bureau of Economic Research, Inc.
  7. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
  8. Hui Guo, 2006. "On the Out-of-Sample Predictability of Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 79(2), pages 645-670, March.
  9. Xing Jin & Leping Wang & Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers wpn06-19, Warwick Business School, Finance Group.
  10. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
  11. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  12. Sandy Suardi & O.T.Henry & N. Olekalns, . "Equity Return and Short-Term Interest Rate Volatility: Level Effects and Asymmetric Dynamics," MRG Discussion Paper Series 0206, School of Economics, University of Queensland, Australia.
  13. Barnes, Michelle & Boyd, John H. & Smith, Bruce D., 1999. "Inflation and asset returns," European Economic Review, Elsevier, vol. 43(4-6), pages 737-754, April.
  14. Jonathan Berk & Richard C. Green & Vasant Naik, . "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers 64, Carnegie Mellon University, Tepper School of Business.
  15. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1993. "A utility based comparison of some models of exchange rate volatility," International Finance Discussion Papers 441, Board of Governors of the Federal Reserve System (U.S.).
  16. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
  17. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.
  18. repec:ner:tilbur:urn:nbn:nl:ui:12-194709 is not listed on IDEAS
  19. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  20. Pesaran, M. Hashem & Timmermann, Allan, 2002. "Market timing and return prediction under model instability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 495-510, December.
  21. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper 2003-95, Tilburg University, Center for Economic Research.
  22. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010. "Macroeconomic Risks and Characteristic-Based Factor Models," MPRA Paper 47344, University Library of Munich, Germany.
  23. J. Ignacio Peña, 1992. "On meteor showers in stock markets: New York vs Madrid," Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234, May.
  24. Paul Harrison & Harold Zhang, . "Cyclical Variation in the Risk and Return Relation," GSIA Working Papers 1997-27, Carnegie Mellon University, Tepper School of Business.
  25. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  26. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
  27. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  28. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  29. Moysiadis, Theodoros & Fokianos, Konstantinos, 2014. "On binary and categorical time series models with feedback," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 209-228.
  30. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
  31. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
  32. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011. "Asymmetric Loss Functions and the Rationality of Expected Stock Returns," MPRA Paper 47343, University Library of Munich, Germany.
  33. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
  34. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  35. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  36. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.
  37. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
  38. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
  39. Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005. "Interpretable asset markets?," European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
  40. Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
  41. Yufeng Han, 2010. "On the Economic Value of Return Predictability," Annals of Economics and Finance, Society for AEF, vol. 11(1), pages 1-33, May.
  42. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
  43. Chou, Cheng & Chu, Chia-Shang J., 2011. "Market timing: Recent development and a new test," Economics Letters, Elsevier, vol. 111(2), pages 105-109, May.
  44. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
  45. Peter F. Christoffersen & Francis X. Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers 10009, National Bureau of Economic Research, Inc.
  46. Barras, Laurent, 2007. "International conditional asset allocation under specification uncertainty," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 443-464, September.
  47. Erdos, Péter & Ormos, Mihály & Zibriczky, Dávid, 2011. "Non-parametric and semi-parametric asset pricing," Economic Modelling, Elsevier, vol. 28(3), pages 1150-1162, May.
  48. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2007. "Accruals and Aggregate Stock Market Returns," MPRA Paper 5197, University Library of Munich, Germany.
  49. Blaskowitz, Oliver & Herwartz, Helmut, 2014. "Testing the value of directional forecasts in the presence of serial correlation," International Journal of Forecasting, Elsevier, vol. 30(1), pages 30-42.
  50. Wayne E. Ferson & Campbell R. Harvey, 1999. "Conditioning Variables and the Cross-Section of Stock Returns," NBER Working Papers 7009, National Bureau of Economic Research, Inc.
  51. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
  52. John R. Graham & Campbell R. Harvey, 2001. "Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective," NBER Working Papers 8678, National Bureau of Economic Research, Inc.
  53. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
  54. de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
  55. Graham Elliott & Takatoshi Ito, 1995. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market," NBER Working Papers 5376, National Bureau of Economic Research, Inc.
  56. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  57. Luis Ferruz Agudo & Maria Vargas Magallon & Jose Sarto, 2006. "Evaluation of performance and conditional information: the case of Spanish mutual funds," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 803-817.
  58. Hooper, Vincent J. & Ng, Kevin & Reeves, Jonathan J., 2008. "Quarterly beta forecasting: An evaluation," International Journal of Forecasting, Elsevier, vol. 24(3), pages 480-489.
  59. Jorge H. del Castillo-Spíndola, 2006. "A Non-Parametric Test of the Conditional CAPM for the Mexican Economy," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 21(2), pages 275-297.
  60. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc.
  61. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
  62. Jagannathan, Ravi & Wang, Zhenyu, 1996. " The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
  63. John H. Boyd & Ravi Jagannathan & Jian Hu, 2001. "The Stock Market's Reaction to Unemployment News: Why Bad News is Usually Good for Stocks," NBER Working Papers 8092, National Bureau of Economic Research, Inc.
  64. Barnhart, Scott W. & Giannetti, Antoine, 2009. "Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 70-86, January.
  65. Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, vol. 52(1), pages 119-148, April.
  66. Dwight R. Sanders & Philip Garcia & Raymond M. Leuthold, 1998. "The Forecasting Value of New Crop Futures: A Decision-Making Framework," Finance 9805003, EconWPA.
  67. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York.
  68. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
  69. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Sim Kee Boon Institute for Financial Economics.
  70. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics.
  71. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  72. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
  73. Elliott, Graham & Ito, Takatoshi, 1999. "Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market," Journal of Monetary Economics, Elsevier, vol. 43(2), pages 435-456, April.
  74. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
  75. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  76. John H. Boyd & Ross E. Levine & Bruce D. Smith, 1996. "Inflation and financial market performance," Working Paper 9617, Federal Reserve Bank of Cleveland.
  77. Boyd, John H. & Levine, Ross & Smith, Bruce D., 2001. "The impact of inflation on financial sector performance," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 221-248, April.
  78. Hui Hong & Fergal O'Brien & James Ryan, 2014. "Inflation And The Subsequent Timing Of The Chinese Stock Market," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 10(2), pages 13-35.
  79. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
  80. Solnik, Bruno, 1993. "The performance of international asset allocation strategies using conditioning information," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 33-55, June.
  81. Manuel Ammann & Christian Zenkner, 2003. "Tactical Asset Allocation mit Genetischen Algorithmen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 139(I), pages 1-40, March.
  82. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  83. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 505-528, July.
  84. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society.
  85. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  86. Canova, Fabio & Marrinan, Jane, 1995. "Predicting excess returns in financial markets," European Economic Review, Elsevier, vol. 39(1), pages 35-69, January.
  87. Ricardo Cao & Alicia Heras & Angeles Saavedra, 2009. "The uncertainties about the relationships risk–return–volatility in the Spanish stock market," Computational Statistics, Springer, vol. 24(1), pages 113-126, February.
  88. Harry Mamaysky & Matthew Spiegel & Hong Zhang, 2008. "Estimating the Dynamics of Mutual Fund Alphas and Betas," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 233-264, January.
  89. Goyenko, Ruslan & Sarkissian, Sergei, 2010. "Flight to Liquidity and Global Equity Returns," MPRA Paper 27546, University Library of Munich, Germany.
  90. Ching-Chuan Tsong, 2009. "Assessing the Accuracy of Event Forecasts," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 219-240, July.
  91. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  92. Lin, Wen-Ling, 1995. "Market closure and predictability of intradaily stock returns in the United States and Japan," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 19-44, March.
  93. Chul Park, Yung & Chung, Chae-Shick & Wang, Yunjong, 2001. "Fear of Floating: Korea's Exchange Rate Policy after the Crisis," Journal of the Japanese and International Economies, Elsevier, vol. 15(2), pages 225-251, June.
  94. Adjaoud, Fodil & Rahman, Abdul, 1996. "A note on the temporal variability of Canadian financial services stock returns," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 165-177, January.
  95. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  96. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 5(1), pages 20-58, December.
  97. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 167-179, April.
  98. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
  99. Robertson, Donald & Wright, Stephen, 1998. "The Good News and the Bad News about Long-run Stock Market Returns," Cambridge Working Papers in Economics 9822, Faculty of Economics, University of Cambridge.
  100. Ivo Welch & Amit Goyal, 2004. "A Note On 'Predicting Returns With Financial Ratios'," Yale School of Management Working Papers amz2465, Yale School of Management.
  101. Jiang, Wei, 2003. "A nonparametric test of market timing," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 399-425, September.
  102. repec:wyi:journl:002068 is not listed on IDEAS
  103. Whitelaw, Robert F, 1994. " Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-41, June.
  104. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
  105. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  106. Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2009. "Accruals, cash flows, and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 91(3), pages 389-406, March.
  107. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.