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Golez, Benjamin - 2015

/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …

Persistent link: https://www.econbiz.de/10013031015

Forecasting China's Economic Growth and Inflation

Higgins, Patrick C. - 2016

rigorous and systematic research in the evaluation of out-of-sample model-based forecasts of China's real GDP growth and CPI … models when measured by root mean square errors, especially over long-run forecast horizons. The model is shown to be capable … of predicting turning points and to be usable for policy analysis under different scenarios. It predicts that China …

Persistent link: https://www.econbiz.de/10012987123

Information Content of Equity Analyst Reports

Asquith, Paul - 2002

This paper investigates the market reaction to the information released in security analyst reports. It shows that the market reacts significantly and positively to changes in recommendation levels, earnings forecasts, and price targets. While changes in price targets and earnings forecasts both...

Persistent link: https://www.econbiz.de/10012787095

The Information Content of International Portfolio Flows

Froot, Kenneth - 2010

autocorrelated. We find that cross-border flows forecast both individual country equity market prices and associated US closed …-border inflows predict no change in the discount, but forecast positive changes in both net asset values and closed-end fund prices …

Persistent link: https://www.econbiz.de/10012763117

Changing Times, Changing Values : A Historical Analysis of Sectors within the Us Stock Market 1872-2013

Bunn, Oliver D. - 2014

We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...

Persistent link: https://www.econbiz.de/10013049370

Market Reactions to Tangible and Intangible Information

Daniel, Kent - 2010

We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...

Persistent link: https://www.econbiz.de/10012762814

Valuation Ratios and the Long-Run Stock Market Outlook : An Update

Campbell, John Y. - 2010

The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...

Persistent link: https://www.econbiz.de/10012763169

Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole

Ferreira, Miguel A. - 2009

We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...

Persistent link: https://www.econbiz.de/10012765583

Man vs. Machine Learning : The Term Structure of Earnings Expectations and Conditional Biases

Binsbergen, Jules H. van; Han, Xiao; Lopez-Lira, Alejandro - 2022

expectations are, on average, biased upwards, and the bias increases in the forecast horizon. These biases are associated with …

Persistent link: https://www.econbiz.de/10013403894

The Institutional Causes of China's Great Famine, 1959-61

Meng, Xin - 2010

This paper investigates the institutional causes of China's Great Famine. It presents two empirical findings: 1) in …

Persistent link: https://www.econbiz.de/10013138144