Exploiting ergodicity in forecasts of corporate profitability

DOI10.1016/J.JEDC.2019.103820MaRDI QIDQ2291809zbMATH OpenOpenAlexWikidataFDO

Authors Philipp Mundt, Simone Alfarano, Mishael Milaković

Publication date 31 January 2020

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/195098

zbMATH Keywords

stochastic differential equationmodel confidence setFokker-Planck equationreturn on assetssuperior predictive ability test

Mathematics Subject Classification ID

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

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Cites work

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• The Pareto, Zipf and other power laws
• The Stationary Bootstrap
• Why are distributions of firm growth rates tent-shaped?
• Zipf plots and the size distribution of firms

Cited in

(6)

• Expected profitability and the cross-section of stock returns
• Implications of quantal response statistical equilibrium
• The Dynamics of Earnings Forecast Management*
• Random walks and sustained competitive advantage
• Income modelling of enterprises on the basic of vector prediction
• A statistical equilibrium approach to the distribution of profit rates

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