Perpetual learning and stock return predictability

DOI10.1016/J.ECONLET.2013.06.035MaRDI QIDQ2446469zbMATH OpenOpenAlexFDO

Authors Xiaoneng Zhu

Publication date 17 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2013.06.035

zbMATH Keywords

learningstock returnsforecastsexcess return

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• A simple recursive forecasting model
• An Intertemporal Capital Asset Pricing Model
• Bubbles, crashes and risk
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• Predictability of stock returns and asset allocation under structural breaks

Cited in

(4)

• Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
• Forecasting stock market returns over multiple time horizons
• Do emerging markets with consistent returns have better future performance?
• Predicting stock price movements from past returns: the role of consistency and tax-loss selling

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