Testing for episodic predictability in stock returns

DOI10.1016/J.JECONOM.2020.01.001MaRDI QIDQ2116325zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Iliyan Georgiev, Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date 16 March 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.01.001

zbMATH Keywords

endogeneitypersistencepredictive regressionconditional and unconditional heteroskedasticityrolling and recursive IV estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Instrumental variable and variable addition based inference in predictive regressions
• Nearly optimal tests when a nuisance parameter is present under the null hypothesis
• New Tools for Understanding Spurious Regressions
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Predictability of stock returns and asset allocation under structural breaks
• Predicting the equity premium with dividend ratios
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Testing for parameter instability in predictive regression models
• The generalized fluctuation test: A unifying view

Cited in

(12)

• Robust inference with stochastic local unit root regressors in predictive regressions
• A Unified Inference for Predictive Quantile Regression
• Weighted nonlinear regression with nonstationary time series
• Stability Testing of Stock Returns Connections
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Simple tests for stock return predictability with good size and power properties
• Testing for Predictability in Financial Returns Using Statistical Learning Procedures
• A new Portmanteau test for predictive regression models with possible embedded endogeneity
• Short term prediction of extreme returns based on the recurrence interval analysis
• Extensions to IVX methods of inference for return predictability
• Penetrating sporadic return predictability
• Transformed regression-based long-horizon predictability tests

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