The predictability of stock returns – a nonparametric approach

DOI10.1080/07474939608800357MaRDI QIDQ4355138zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

stock returnsnonparametric predictions

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 1304910
• Predicting a rank measure for stock returns
• A nonparametric approach to test for predictability
• Nonlinearity, data-snooping, and stock index ETF return predictability

Cites work

• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• A new look at the statistical model identification
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Asset Prices in an Exchange Economy
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Common risk factors in the returns on stocks and bonds
• Remarks on Some Nonparametric Estimates of a Density Function

Cited in

(17)

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

This page was built for publication: The predictability of stock returns – a nonparametric approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355138)