Exploiting ergodicity in forecasts of corporate profitability

DOI10.1016/J.JEDC.2019.103820OpenAlexW2946275841WikidataQ126566850 ScholiaQ126566850MaRDI QIDQ2291809FDOQ2291809

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

Recommendations

• A statistical equilibrium approach to the distribution of profit rates
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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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Cited In (6)

• Expected profitability and the cross-section of stock returns
• The Dynamics of Earnings Forecast Management*
• Implications of quantal response statistical equilibrium
• 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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