Does the choice of estimator matter when forecasting returns

By Joakim Westerlund, Paresh Kumar Narayan. 2012

272 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/711a4e4ba73ae7ada6c8523e9185a863c8f2d44a

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Citations in the corpus

Does Financial News Predict Stock Returns? New Evidence from Islamic and Non-Islamic Stocks (2017, background): “This has been shown in the case of mean-variance investors by several studies in the stock return predictability literature; see, inter alia, Westerlund and Narayan (2012, 2014) and Narayan and Sharma (2015).”
Pandemics and the Asia-Pacific Islamic Stocks (2020, methodology): “Using a predictability model suitable for the variables of interest (see Westerlund & Narayan, 2012, 2015), we find strong evidence in support of the hedging potential of the Asia-Pacific Islamic stocks during pandemics and epidemics compared to conventional stocks.”
Uncertainty Due to Infectious Diseases and Energy Market Volatility (2020, methodology): “…analysis, we construct a bivariate predictive model, where the energy market volatility is the predicted series while the predictor is UPE (see Westerlund & Narayan, 2012, 2015): A major attraction of the new dataset lies in its scope as it covers uncertainty due to all the known pandemics…”
Has oil price predicted stock returns for over a century (2015, methodology): “The Westerlund and Narayan (2012) test for predictability (or rather the absence thereof) is the resulting GLS t-statistic for testing : #$% = 0 in Equation (4).”
Assessing the safe haven property of the gold market during COVID-19 pandemic (2021, methodology): “…heteroscedasticity effect (due to the use of high frequency data) and persistence (which is typical of most financial and economic time series) (see Westerlund & Narayan, 2012, 2015): rt = α+ ∑5 i=1 λadji uct− i + γ(uct − ρ0uct− 1)+ ηt (1) where rt is the log return of gold price; ucis the market…”