- Can ChatGPT Forecast Stock Price Movements? Return ...🔍
- Equity premium prediction🔍
- Searching for the Equity Premium🔍
- The Value of Economic Constraints in Boosting Equity Premium ...🔍
- the role of current account balance in forecasting the us equity ...🔍
- Bagging Constrained Forecasts with Application to Forecasting ...🔍
- Stock return predictability🔍
- Monitoring Systemic Risk Based on Dynamic Thresholds🔍
Predicting the equity premium with a high‐threshold risk level and ...
Can ChatGPT Forecast Stock Price Movements? Return ... - arXiv
In this study, we investigate the potential of ChatGPT and other large language models in predicting stock market returns using news headlines. We document ...
Equity premium prediction - Research Repository
... risk reversal strategy RXM, which has the highest R2. OS at 1.91 (p-value. = 0.1%). Given that risk reversals reflect the level of implied ...
... risks model, thereby avoiding its pitfall of implausibly high timing premiums. ... risk premiums, making the expected equity premium and stock market ...
ˆ Campbell and Thompson (2008) argue that: 1. Low R2 is still useful for investors. 2. Only positive equity premium prediction is relevant (to.
the role of current account balance in forecasting the us equity ...
Traditionally, studies dealing with stock returns and equity premium prediction have used a linear predictive regression framework (Goyal and Welch, 2008).
Bagging Constrained Forecasts with Application to Forecasting ...
Campbell and Thompson (2008), “Predicting the Equity Premium Out of Sample: ... (1984): “Dividend Yields are Equity Risk Premiums,”Journal of Port- folio ...
Stock return predictability: the role of inflation and threshold dynamics
We test for and estimate threshold models with inflation and the term structure as the threshold variable. These models reveal a change in either the sign or ...
Monitoring Systemic Risk Based on Dynamic Thresholds
growth increases systemic risk considerably more when accompanied by high equity ... Changes in the lending premium also appear to impact the level of systemic ...
How useful are historical data for forecasting the long-run equity ...
... equity premium in the presence of structural breaks using a dynamic risk-return model.5 These papers are based on the structural break model of Chib (1998) ...
We conclude that the high ERP was caused by unusually low Treasury yields. Key words: equity premium, stock returns. Duarte, Rosa: Federal Reserve Bank of New ...
The Pricing of Tail Risk and the Equity Premium: Evidence from ...
and dynamics of market risk. Although volatility is a strong predictor of future market risk, such as the jump intensity and overall return variation, it ...
Closure on riskfree rates and first steps on equity risk premiums
We started the class by completing the last loose ends on risk free rates, before turning our attention to equity risk premiums and what ...
model to estimate Levy processes in high ... between the stock market and risk-free market; we set ... Tsiakas, “Equity premium prediction: The role of eco-.
Predicting the equity risk premium using the smooth cross-sectional ...
... threshold is between 0 and 1. The higher the level of λt, the “fatter” the tail of the distribution and the greater the probability of ...
Equity premium prediction: keep it sophisticatedly simple. - Gale
Historically, studies such as Campbell (1987) and Fama and French (1988) have documented in-sample evidence supporting the predictability of the aggregate ...
Deep Learning for Predicting Asset Returns - arXiv
To illustrate our methodology, we revisit the equity market risk premium dataset of Welch and Goyal (2008). We find the existence of nonlinear.
But conversely, some other economies have even higher equity risk premiums, e.g.,. Netherlands (11.4%), Sweden (11.5%) and Switzerland (14.9%). Thus, compared ...
Three myths about risk thresholds for prediction models
... risk threshold are assigned different levels of risk ... If risk thresholds are needed to identify high-risk patients, optimal thresholds ...
time-varying equity premium forecasts based on industry indexes
Since NBER recession dates are not available in real-time, I estimate the threshold for month t using only the data up to ... over the risk-free rate, and the ...
Generalized financial ratios to predict the equity premium
1,2 This horizon is relevant for the tactical component in market timing the asset allocation between the risky. (equity) portfolio and the risk ...