On Predicting Stock Returns with Nearly Integrated Explanatory Variables

By Walter N. Torous, Rossen Valkanov, Shu Yan. 2004

359 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/83e2f2148068cdecd53b78b37b023a075061da80

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David E. Rapach
2. John Y. Campbell
3. Stijn Van Nieuwerburgh
4. Guofu Zhou
5. M. Wohar
6. Ralph S. J. Koijen
7. Martin Lettau
8. Luis M. Viceira

In Finance

1. Guofu Zhou
2. David E. Rapach
3. John Y. Campbell
4. Stijn Van Nieuwerburgh
5. Ralph S. J. Koijen
6. Allan G. Timmermann
7. Paresh Kumar Narayan
8. Luis M. Viceira

Citations in the corpus

• Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, neutral): “An active literature based in classical statistics focuses on correcting for these problems (e.g. Amihud and Hurvich (2004), Campbell and Yogo (2006), Eliasz (2004), Ferson et al. (2003), Lewellen (2004) and Torous et al. (2004)). and variance σ 2 x ≡ E (x t − µ x ) 2 | B, Σ = σ 2 v 1 − θ 2 1 .”
• Short Interest and Aggregate Stock Returns (2016, background): “It is well known that highly persistent regressors raise econometric concerns (e.g., Cavanagh, Elliott, and Stock, 1995; Torous, Valkanov, and Yan, 2004).”
• Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole (2011, neutral): “…that the persistence of the forecasting variables and the correlation of their innovations with returns might bias the regression coefficients and affect t-statistics (Nelson and Kim (1993), Cavanagh, Elliott, and Stock (1995), Stambaugh (1999), Lewellen (2004), Torous, Valkanov, and Yan (2004)).”
• Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability (2006, background): “This paper is also related to the recent literature on inference in forecasting regressions with persistent regressors (e.g., Amihud and Hurwich, 2004; Ang and Bekaert, 2006; Campbell and Yogo, 2002; Lewellen, 2004; Torous, Volkanov, and Yan, 2004; Eliasz, 2005).”
• Multifactor models and their consistency with the ICAPM (2012, neutral): “The sole exceptions are the 25 An incomplete list includes Nelson and Kim (1993), Stambaugh (1999), Kilian (1999), Valkanov (2003), Lewellen (2004), Torous, Valkanov, and Yan (2004), Campbell and Yogo (2006), Ang and Bekaert (2007), and Boudoukh, Richardson, and Whitelaw (2008). coefficients…”
• Predicting market returns using aggregate implied cost of capital (2013, neutral): “This Stock (1995), Stambaugh (1999), Torous, Valkanov, and Yan (2004), Campbell and Yogo (2006), Polk, Thompson, and Vuolteenaho (2006), Ang and Bekaert (2007), and Boudoukh, Richardson, and Whitelaw (2008).”
• Sequential Learning, Predictability, and Optimal Portfolio Returns: Sequential Learning, Predictability, and Optimal Portfolio Returns (2014, neutral): “…extensive citations, see Shiller (1981), Hodrick (1992), Stambaugh (1999), Avramov (2002), Cremers (2002), Ferson et al. (2003), Lewellen (2004), Torous, Valkanov, and Yan (2004), Campbell and Yogo (2006), Cochrane (2008), Ang and Bekaert (2007), Xia (2007), Campbell and Thompson (2008), Lettau…”
• Testing predictive regression models with nonstationary regressors (2014, neutral): “At first, note that the correlation coefficient between the two innovations ε t and u t in (1) is δ = σ ε u /σ ε σ u , which is unfortunately non-zero for many empirical studies; see, for example, Table 4 in Campbell and Yogo (2006) and Table 1 in Torous et al. (2004) for some real applications.”