Perpetual learning and stock return predictability

DOI10.1016/J.ECONLET.2013.06.035zbMATH Open1284.62790OpenAlexW1970303056MaRDI QIDQ2446469FDOQ2446469

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

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zbMATH Keywords

learningstock returnsforecastsexcess return

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• Do emerging markets with consistent returns have better future performance?
• 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
• Predicting stock price movements from past returns: the role of consistency and tax-loss selling

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