Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
By Miguel A. Ferreira, Pedro Santa-clara. 2011
491 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/8f44ed6f7776242e0d1b3929cb1fa085227ed0bf
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- David E. Rapach
- Guofu Zhou
- Matthew C. Ringgenberg
- Stephen J. Roberts
- Zihao Zhang
- Stefan Zohren
- Paresh Kumar Narayan
- Rangan Gupta
In Management Science and Operations Research
- David E. Rapach
- Stefan Zohren
- Guofu Zhou
- Stephen J. Roberts
- Matthew C. Ringgenberg
- Zihao Zhang
- Weiwei Jiang
- Francis X. Diebold
Citations in the corpus
- DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2018, background): “Although opinions differ regarding the efficiency of markets, many widely accepted studies show that financial markets are to some extent predictable [13, 14, 15, 16].”
- Predictive Regressions with Time-Varying Coefficients (2012, unknown): “This pattern can also explain the results reported in Goyal and Welch (2008) and Ang and Bekaert (2007), who detect instability of prediction models using the dividend yield.”
- Short Interest and Aggregate Stock Returns (2016, background): “Specifically, as in Campbell and Thompson (2008), Rapach, Strauss, and Zhou (2010), and Ferreira and Santa-Clara (2011), we consider a mean-variance investor who 25The Harvey, Leybourne, and Taylor (2009) tl statistics are 2.12, 2.16, and 2.26 at the 10%, 5%, and 1% levels, respectively, none of…”
- Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, unknown): “Ferreira and Santa-Clara (2011) propose an intriguing “sum-of-the-parts” equity risk premium forecast as the sum of a 20-year moving average of earnings growth and the current dividend-price ratio (minus the risk-free rate).”
- Investor Attention and Stock Returns (2020, unknown): “Following Kandel and Stambaugh (1996), Campbell and Thompson (2008), and Ferreira and Santa-Clara (2011), we consider a mean-variance investor who uses return forecasts to make asset allocation decisions across risky stocks and TABLE 6 Out-of-Sample Forecasting Results Table 6 reports the…”