Predictability of Returns and Cash Flows

By Ralph S. J. Koijen, Stijn Van Nieuwerburgh. 2011

196 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/fc2856d08f65ca2e67c4f6ba05c7ab5c6264034b

Citations in the corpus

• Empirical Asset Pricing via Machine Learning (2018, unknown): “Rapach et al. (2013) apply LASSO to predict global equity market returns using lagged returns of all countries.”
• The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “We do this exercise out-of-sample as the literature has shown huge biases because of in-sample over fi tting (Welch and Goyal 2008) and parameter instability (Koijen and Van Nieuwerburgh 2011).”