Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Return predictability 

Working Paper
Institutions and return predictability in oil-exporting countries

We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger when institutional quality is lower. We argue that the relation between predictability and institutional quality reflects the preference of countries with weaker institutions to consume oil windfalls locally rather than smooth out the impact of windfalls by, for instance, investing the proceeds through a ...
Finance and Economics Discussion Series , Paper 2015-14

Working Paper
From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

This paper compares consumption-based asset pricing models based on the forecasting performance of investors who use economic constraints derived from the models to predict the equity premium. Three prominent asset pricing models are considered: Habit Formation, Long Run Risk, and Prospect Theory. I propose a simple Bayesian framework through which the investors impose the economic constraints as model-based priors on the parameters of their predictive regressions. An investor whose prior beliefs are rooted in the Long Run Risk model achieves more accurate forecasts overall. The greatest ...
Finance and Economics Discussion Series , Paper 2016-027

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

G12 2 items

G11 1 items

G17 1 items

O16 1 items

O50 1 items

PREVIOUS / NEXT