The predictability of stock returns – a nonparametric approach

DOI10.1080/07474939608800357zbMATH Open0893.62121OpenAlexW1988774414WikidataQ126256181 ScholiaQ126256181MaRDI QIDQ4355138FDOQ4355138

Authors: Y. Peter Chung, Zhongguo Zhou 

Publication date: 17 September 1997

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800357

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zbMATH Keywords

stock returnsnonparametric predictions

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• A new look at the statistical model identification
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Title not available (Why is that?)
• Remarks on Some Nonparametric Estimates of a Density Function
• Common risk factors in the returns on stocks and bonds
• Asset Prices in an Exchange Economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

Cited In (17)

• Predicting a rank measure for stock returns
• Nonlinearity, data-snooping, and stock index ETF return predictability
• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• Asymmetric predictive abilities of nonlinear models for stock returns: evidence from density forecast comparison
• Nonlinear support vector machines can systematically identify stocks with high and low future returns
• Evolutionary-based return forecasting with nonlinear STAR models: evidence from the Eurozone peripheral stock markets
• Nonlinear Predictability of Stock Returns? Parametric Versus Nonparametric Inference in Predictive Regressions
• Prediction of Stock Returns: A New Way to Look at It
• Simple tests for stock return predictability with good size and power properties
• PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST
• Testing for Predictability in Financial Returns Using Statistical Learning Procedures
• Regression Function Estimation Using Spline Wavelets
• Nonparametric long term prediction of stock returns with generated bond yields
• The “Fed Model” and the Predictability of Stock Returns*
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• USING NON-PARAMETRIC SEARCH ALGORITHMS TO FORECAST DAILY EXCESS STOCK RETURNS
• On the Economic Significance of Stock Return Predictability

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