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In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors

https://doi.org/10.1080/13518470802423338

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/(sici)1099-1158(199610)1:4<275::aid-ijfe25>3.0.co;2-7openalex-snapshot

The Econometrics of the ‘Market Model’: Cointegration, Error Correction and Exogeneity

inferredcites →https://doi.org/10.1002/for.3980080303openalex-snapshot

Invited review combining forecasts—twenty years later

inferredcites →https://doi.org/10.1016/0304-405x(86)90070-xopenalex-snapshot

Predicting returns in the stock and bond markets

inferredcites →https://doi.org/10.1016/0304-405x(87)90033-xopenalex-snapshot

Testing for market timing ability

inferredcites →https://doi.org/10.1016/0304-405x(88)90020-7openalex-snapshot

Dividend yields and expected stock returns

inferredcites →https://doi.org/10.1016/0304-405x(88)90021-9openalex-snapshot

Mean reversion in stock prices

inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot

Business conditions and expected returns on stocks and bonds

inferredcites →https://doi.org/10.1016/0304-4076(94)01644-fopenalex-snapshot

Estimating long-run relationships from dynamic heterogeneous panels

inferredcites →https://doi.org/10.1016/1062-9769(94)90017-5openalex-snapshot

Predictability of stock returns and real output

inferredcites →https://doi.org/10.1016/j.ijforecast.2004.05.004openalex-snapshot

Macro variables and international stock return predictability

inferredcites →https://doi.org/10.1016/j.jeconom.2005.07.015openalex-snapshot

Persistence in forecasting performance and conditional combination strategies

inferredcites →https://doi.org/10.1016/j.jempfin.2005.08.001openalex-snapshot

In-sample vs. out-of-sample tests of stock return predictability in the context of data mining

inferredcites →https://doi.org/10.1016/j.jfineco.2002.11.002openalex-snapshot

Predicting returns with financial ratios

inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-snapshot

Efficient tests of stock return predictability☆

inferredcites →https://doi.org/10.1016/s0304-4076(01)00098-7openalex-snapshot

Unit root tests in panel data: asymptotic and finite-sample properties

inferredcites →https://doi.org/10.1016/s0304-4076(03)00092-7openalex-snapshot

Testing for unit roots in heterogeneous panels

inferredcites →https://doi.org/10.1016/s0927-5398(02)00054-3openalex-snapshot

Emerging markets finance

inferredcites →https://doi.org/10.1016/s1049-0078(01)00111-7openalex-snapshot

Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries

inferredcites →https://doi.org/10.1017/cbo9780511754128openalex-snapshot

The Econometric Modelling of Financial Time Series

inferredcites →https://doi.org/10.1080/01621459.1979.10482531openalex-snapshot

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

inferredcites →https://doi.org/10.1086/260910openalex-snapshot

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

inferredcites →https://doi.org/10.1086/261502openalex-snapshot

Cointegration and Tests of Present Value Models

inferredcites →https://doi.org/10.1086/261535openalex-snapshot

Permanent and Temporary Components of Stock Prices

inferredcites →https://doi.org/10.1086/294743openalex-snapshot

The Behavior of Stock-Market Prices

inferredcites →https://doi.org/10.1086/296144openalex-snapshot

On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills

inferredcites →https://doi.org/10.1086/296344openalex-snapshot

Economic Forces and the Stock Market

inferredcites →https://doi.org/10.1086/323282openalex-snapshot

Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying

inferredcites →https://doi.org/10.1086/654107openalex-snapshot

Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence

inferredcites →https://doi.org/10.1093/ajcp/15.11.552bopenalex-snapshot

Statistical Methods for Research Workers

inferredcites →https://doi.org/10.1093/rfs/1.1.41openalex-snapshot

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-snapshot

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

inferredcites →https://doi.org/10.1093/rfs/5.3.351openalex-snapshot

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

inferredcites →https://doi.org/10.1111/0022-1082.00065openalex-snapshot

Earnings and Expected Returns

inferredcites →https://doi.org/10.1111/0022-1082.00260openalex-snapshot

Asset Pricing at the Millennium

inferredcites →https://doi.org/10.1111/0022-1082.00347openalex-snapshot

Consumption, Aggregate Wealth, and Expected Stock Returns

inferredcites →https://doi.org/10.1111/j.1467-6435.1964.tb02458.xopenalex-snapshot

THE RANDOM‐WALK HYPOTHESIS OF STOCK MARKET BEHAVIORa

inferredcites →https://doi.org/10.1111/j.1540-6261.1970.tb00518.xopenalex-snapshot

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04636.xopenalex-snapshot

Efficient Capital Markets: II

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04731.xopenalex-snapshot

Predictable Stock Returns: The Role of Small Sample Bias

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04732.xopenalex-snapshot

Testing the Predictive Power of Dividend Yields

inferredcites →https://doi.org/10.1257/0002828043052240openalex-snapshot

Bad Beta, Good Beta

inferredcites →https://doi.org/10.1257/aer.99.2.660openalex-snapshot

American Economic Review

inferredcites →https://doi.org/10.1515/9781400830213openalex-snapshot

The Econometrics of Financial Markets

inferredcites →https://doi.org/10.17016/ifdp.2006.855openalex-snapshot

Should We Expect Significant Out-of-Sample Results When Predicting Stock Returns?

inferredcites →https://doi.org/10.2139/ssrn.770905openalex-snapshot

Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns

inferredcites →https://doi.org/10.2307/1911512openalex-snapshot

The Present-Value Relation: Tests Based on Implied Variance Bounds

inferredcites →https://doi.org/10.2307/1912773openalex-snapshot

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

inferredcites →https://doi.org/10.2307/1912934openalex-snapshot

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

inferredcites →https://doi.org/10.2307/1913610openalex-snapshot

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

inferredcites →https://doi.org/10.2307/2278451openalex-snapshot

Statistical Methods for Research Workers.

inferredcites →https://doi.org/10.2307/2286348openalex-snapshot

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

inferredcites →https://doi.org/10.2307/2325486openalex-snapshot

Efficient Capital Markets: A Review of Theory and Empirical Work

inferredcites →https://doi.org/10.2307/2328565openalex-snapshot

Efficient Capital Markets: II

inferredcites →https://doi.org/10.2307/2328917openalex-snapshot

Testing the Predictive Power of Dividend Yields

inferredcites →https://doi.org/10.2307/2329254openalex-snapshot

The Econometric Modelling of Financial Time Series.

inferredcites →https://doi.org/10.2307/2331376openalex-snapshot

Permanent, Temporary, and Non-Fundamental Components of Stock Prices

inferredcites →https://doi.org/10.2307/2676257openalex-snapshot

Predictability in International Asset Returns: A Reexamination

inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-snapshot

The Econometrics of Financial Markets

inferredcites →https://doi.org/10.3386/t0055openalex-snapshot

A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix

inferredcites →https://doi.org/10.3386/t0108openalex-snapshot

Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement

inferredcites →https://doi.org/10.3386/w0456openalex-snapshot

Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?

inferredcites →https://doi.org/10.3386/w2100openalex-snapshot

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

inferredcites →https://doi.org/10.3386/w8207openalex-snapshot

Stock Return Predictability: Is it There?

inferredcites →https://doi.org/10.3886/icpsr01029openalex-snapshot

Mean Reversion in Stock Prices

inferredcites →https://doi.org/10.3905/jpm.2000.319747openalex-snapshot

Modeling Stock Market Returns

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1980610openalex-extracted

In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence

inferred← citeshttps://doi.org/10.1002/for.2269openalex-snapshot

In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence

inferred← citeshttps://doi.org/10.1007/s10614-014-9437-8openalex-snapshot

A Behavioral Macroeconomic Model of Exchange Rate Fluctuations with Complex Market Expectations Formation

inferred← citeshttps://doi.org/10.1016/j.ijforecast.2013.06.001openalex-snapshot

Testing the value of directional forecasts in the presence of serial correlation

inferred← citeshttps://doi.org/10.1111/jmcb.12370openalex-snapshot

Local Trends in Price‐to‐Dividend Ratios—Assessment, Predictive Value, and Determinants

inferred← citeshttps://doi.org/10.18452/4165openalex-snapshot

Testing directional forecast value in the presence of serial correlation

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