Forecasting Stock Returns under Economic Constraints

By Butt Man-Kit. 2015

252 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/8fea75da5e9b08582c19cc01b6eee1b584ef536c

How researchers see this paper

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

In Development

1. Jun Tu
2. Fuwei Jiang
3. Guofu Zhou
4. Dashan Huang

In Economics and Econometrics

1. Guofu Zhou
2. Jun Tu
3. Fuwei Jiang
4. Dashan Huang
5. Yingzi Zhu
6. David E. Rapach
7. Yongmiao Hong

In Management Science and Operations Research

1. Jun Tu
2. Fuwei Jiang
3. Guofu Zhou
4. Dashan Huang
5. Michael Wolf
6. Olivier Ledoit
7. George Dotsis
8. Raphael N. Markellos

Citations in the corpus

• Investor Attention and Stock Returns (2020, unknown): “Moreover, following Campbell and Thompson (2008) and Pettenuzzo, Timmermann, and Valkanov (2014), we impose an economic restriction on forecast returns that the expected risk premium must be positive to be consistent with theory.”
• Investor sentiment aligned: : A powerful predictor of stock returns (2015, methodology): “When correcting for the Stambaugh (1999) small-sample bias, the regression slope is virtually identical to the OLS regression,−0.”