Time-varying short-horizon predictability ☆

By S. Henkel, J. Martin, Federico Nardari. 2008

437 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/94a42457652e3053349515820348ffb5b2df05b5

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Citations in the corpus

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity (2010, methodology): “use the Hodrick (1992) procedure to test whether b = 0L×1, and the p-values are based on the χ2 statistic with L degrees of freedom.”
Short Interest and Aggregate Stock Returns (2016, methodology): “We standardize the detrended 1See Pástor and Stambaugh (2009), Henkel, Martin, and Nardari (2011), and Pettenuzzo, Timmermann, and Valkanov (2014) for recent examples.”
Aggregate Idiosyncratic Volatility (2012, background): “The current literature on return predictability suggests that most of the predictable variation is concentrated in recession periods (e.g., Henkel et al. (2011)), and it is this time variation in discount rates that standard models of risk may not quite capture, leading to common risk factors…”
Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, positive): “Henkel, Martin, and Nardari (2011) employ a regime switching model and find that return predictability is concentrated in recessions.”
Linear Hypothesis Testing in Dense High-Dimensional Linear Models (2016, background): “Some studies have found that the risk premia of stock market returns have diﬀerent predictability, depending on whether the macroeconomy is in recession or expansion; see Rapach et al. (2010), Henkel et al. (2011) and Dangl and Halling (2012).”
Forecasting commodity price indexes using macroeconomic and financial predictors (2014, background): “The evidence from stock markets presented by Henkel, Martin, and Nardari (2011) and Rapach, Strauss, and Zhou (2010) suggests that the predictability of stock returns is largely confined to economic recessions.”
Four Centuries of Return Predictability (2014, positive): “In line with theory, Henkel, Martin, and Nardari (2011) document that, in the recent U.S. sample (1953-2007), the dividend-to-price ratio is less persistent and predicts returns much better in recession than in expansions.”
Pairs trading in the UK equity market: risk and return (2016, positive): “A growing body of research is focused on the performance of pairs trading in foreign markets (see, for example, Nath 2003; Hong and Susmel 2004; Andrade, Pietro, and Seasholes 2005; Gatev, Goetzmann, and Rouwenhorst 2006; Perlin 2007; Perlin 2009; Do and Faff 2010). Gatev, Goetzmann, and Rouwenhorst”