Forecasting Stock Market Returns Over Multiple Time Horizons
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Forecasting Stock Market Returns Over Multiple Time Horizons
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Author : Dimitri Kroujiline
language : en
Publisher:
Release Date : 2016
Forecasting Stock Market Returns Over Multiple Time Horizons written by Dimitri Kroujiline and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic, agent-based market model developed in Gusev et al. (2015). This heterogeneous framework enables us to capture dynamics at multiple timescales, expanding the model's applications and improving precision. We study the heterogeneous model theoretically and empirically to highlight essential mechanisms underlying certain market behaviors, such as transitions between bull- and bear markets and the self-similar behavior of price changes. Most importantly, we apply this model to show that the stock market is nearly efficient on intraday timescales, adjusting quickly to incoming news, but becomes inefficient on longer timescales, where news may have a long-lasting nonlinear impact on dynamics, attributable to a feedback mechanism acting over these horizons. Then, using the model, we design algorithmic strategies that utilize news flow, quantified and measured, as the only input to trade on market return forecasts over multiple horizons, from days to months. The backtested results suggest that the return is predictable to the extent that successful trading strategies can be constructed to harness this predictability.
The Clash Of The Cultures
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Author : John C. Bogle
language : en
Publisher: John Wiley & Sons
Release Date : 2012-07-05
The Clash Of The Cultures written by John C. Bogle and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-05 with Business & Economics categories.
Recommended Reading by Warren Buffet in his March 2013 Letter to Shareholders How speculation has come to dominate investment—a hard-hitting look from the creator of the first index fund. Over the course of his sixty-year career in the mutual fund industry, Vanguard Group founder John C. Bogle has witnessed a massive shift in the culture of the financial sector. The prudent, value-adding culture of long-term investment has been crowded out by an aggressive, value-destroying culture of short-term speculation. Mr. Bogle has not been merely an eye-witness to these changes, but one of the financial sector’s most active participants. In The Clash of the Cultures, he urges a return to the common sense principles of long-term investing. Provocative and refreshingly candid, this book discusses Mr. Bogle's views on the changing culture in the mutual fund industry, how speculation has invaded our national retirement system, the failure of our institutional money managers to effectively participate in corporate governance, and the need for a federal standard of fiduciary duty. Mr. Bogle recounts the history of the index mutual fund, how he created it, and how exchange-traded index funds have altered its original concept of long-term investing. He also presents a first-hand history of Wellington Fund, a real-world case study on the success of investment and the failure of speculation. The book concludes with ten simple rules that will help investors meet their financial goals. Here, he presents a common sense strategy that "may not be the best strategy ever devised. But the number of strategies that are worse is infinite." The Clash of the Cultures: Investment vs. Speculation completes the trilogy of best-selling books, beginning with Bogle on Investing: The First 50 Years (2001) and Don't Count on It! (2011)
Forecasting Stock Returns In Good And Bad Times
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Author : Dashan Huang
language : en
Publisher:
Release Date : 2017
Forecasting Stock Returns In Good And Bad Times written by Dashan Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively. The TMR predictability pattern holds in the cross-section of U.S. stocks and the international markets. Our study shows that the absence of return predictability in good times, an important finding of recent studies, is largely driven by the use of the popular one-state predictive regression model.
Portfolio Structuring And The Value Of Forecasting
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Author : Jacques Lussier
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2016-10-10
Portfolio Structuring And The Value Of Forecasting written by Jacques Lussier and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-10 with Business & Economics categories.
Forecasting Expected Returns In The Financial Markets
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Author : Stephen Satchell
language : en
Publisher: Elsevier
Release Date : 2011-04-08
Forecasting Expected Returns In The Financial Markets written by Stephen Satchell and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-08 with Business & Economics categories.
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
The Effect Of Analysts Forecasts On Stock Market Returns
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Author : Stefano Bonini
language : en
Publisher:
Release Date : 2009
The Effect Of Analysts Forecasts On Stock Market Returns written by Stefano Bonini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Stock returns forecasting is one of the major objectives of financial analysts. Equity Analysts' forecasts, on the other side, are one of the major sources of information used by less informed investors in their asset allocation decisions. Therefore, analysing which major drivers affect time series of stock returns could allow to shed light over the price revelation process in capital markets. In this paper we propose a model aimed at predicting stock market by combining both macroeconomic and microeconomic factors. We first develop a standard APT approach with multiple macroeconomic factors as regressors. We then integrate the model by explicitly including a metric for intrinsic equity value, basing upon a proxy derived by the weighted average of Stock Market Consensus Forecasts by equity analysts. Third, we complete the model by imposing an ARMA specification for the error term, which allows identifying stock returns' stationarity moving over time. The resulting model shows both a strong fitting capability when tested in the in-sample period and a good predictive capability when applied to an out-of-sample period of monthly Italian stock market returns. In particular, we employed specific estimation procedures based upon recently developed statistics aimed at testing for both factors' equal predicting power and forecast encompassing. As a major empirical finding, our model suggests that the information conveyed by analysts' forecasts is indeed a factor in determining future stock prices, even if there is the possibility that the information transferred could be biased.
Predictabilty Of Aggregate Stock Market Returns
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Author : Venkat Eleswarapu
language : en
Publisher:
Release Date : 2002
Predictabilty Of Aggregate Stock Market Returns written by Venkat Eleswarapu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
It is now well documented that returns on the aggregate stock market are predictable and negatively autocorrelated over longer investment horizons. In this paper, we investigate the predictability of the aggregate stock market returns using past returns of glamour and value stocks. We find the relationships between returns of glamour and value stocks with future stock market returns are quite different. In particular, we find that annual excess returns on the stock market index are negatively related to the returns of glamour stocks in the previous 36-month period. In contrast, the past returns of value stocks do not have any explanatory power in predicting aggregate stock market excess returns. Furthermore, stock market returns, which are purged of the effects of the glamour stocks, do not have any reliable predictive power in explaining the future stock market returns. In contrast, the glamour stocks have a predictive power even after controlling for the information in the past market returns. Our evidence of the unique predictive ability of glamour stocks seems to be inconsistent with the time-varying market risk-premium explanation for the predictability of the aggregate stock market returns.
Predicting Stock Market Returns By Combining Forecasts
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Author : Laurence Fung
language : en
Publisher:
Release Date : 2009
Predicting Stock Market Returns By Combining Forecasts written by Laurence Fung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The predictability of stock market returns has been a challenge to market practitioners and financial economists. This is also important to central banks responsible for monitoring financial market stability. A number of variables have been found as predictors of future stock market returns with impressive in-sample results. Nonetheless, the predictive power of these variables has often performed poorly for out-of-sample forecast. This study utilises a new method known as quot;Aggregate Forecasting Through Exponential Re-weighting (AFTER)quot; to combine forecasts from different models and achieve better out-of-sample forecast performance from these variables. Empirical results suggest that, for longer forecast horizons, combining forecasts based on AFTER provides better out-of-sample predictions than the historical average return and also forecasts from models based on commonly used model selection criteria.
Diy Financial Advisor
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Author : Wesley R. Gray
language : en
Publisher: John Wiley & Sons
Release Date : 2015-08-31
Diy Financial Advisor written by Wesley R. Gray and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-31 with Business & Economics categories.
DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth DIY Financial Advisor is a synopsis of our research findings developed while serving as a consultant and asset manager for family offices. By way of background, a family office is a company, or group of people, who manage the wealth a family has gained over generations. The term 'family office' has an element of cachet, and even mystique, because it is usually associated with the mega-wealthy. However, practically speaking, virtually any family that manages its investments—independent of the size of the investment pool—could be considered a family office. The difference is mainly semantic. DIY Financial Advisor outlines a step-by-step process through which investors can take control of their hard-earned wealth and manage their own family office. Our research indicates that what matters in investing are minimizing psychology traps and managing fees and taxes. These simple concepts apply to all families, not just the ultra-wealthy. But can—or should—we be managing our own wealth? Our natural inclination is to succumb to the challenge of portfolio management and let an 'expert' deal with the problem. For a variety of reasons we discuss in this book, we should resist the gut reaction to hire experts. We suggest that investors maintain direct control, or at least a thorough understanding, of how their hard-earned wealth is managed. Our book is meant to be an educational journey that slowly builds confidence in one's own ability to manage a portfolio. We end our book with a potential solution that could be applicable to a wide-variety of investors, from the ultra-high net worth to middle class individuals, all of whom are focused on similar goals of preserving and growing their capital over time. DIY Financial Advisor is a unique resource. This book is the only comprehensive guide to implementing simple quantitative models that can beat the experts. And it comes at the perfect time, as the investment industry is undergoing a significant shift due in part to the use of automated investment strategies that do not require a financial advisor's involvement. DIY Financial Advisor is an essential text that guides you in making your money work for you—not for someone else!
Using Investment Portfolio Return To Combine Forecasts
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Author : Mark T. Leung
language : en
Publisher:
Release Date : 2006
Using Investment Portfolio Return To Combine Forecasts written by Mark T. Leung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
This study investigates the usefulness and efficacy of a multiobjective decision method for financial trading guided by a set of seemingly diverse analysts' forecasts. The paper proposes a goal programming (GP) approach which combines various forecasts based on the performance of their previous investment returns. In our experiment, several series of financial analysts' forecasts are generated by different forecasting techniques. Investment returns on each series of forecasts are measured and then evaluated by three performance criteria, namely, mean, variance, and skewness. Subsequently, these distributional properties of the returns are used to construct a GP model. Results of the GP model provide a set of weights to compose an investment portfolio using various forecasts. To examine its practicality, the approach is tested on several major stock market indices. The performance of the proposed GP approach is compared with those of individual forecasting techniques and a number of forecast combination models suggested by previous studies. This comparison is conducted with respect to different levels of investor preference over return, variance, and skewness. Statistical significance of the results are accessed by bootstrap re-sampling. Empirical results indicate that, for all examined investor preference functions and market indices, the GP approach is significantly better than all other models tested in this study.