Economic Value of Stock Return Models: Evidence from Optimal Portfolio
Ye Zhou
Broschiertes Buch

Economic Value of Stock Return Models: Evidence from Optimal Portfolio

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Stock return predictability continues to attract an enormous amount of attention and yet the empirical evidence struggles to meet a general consensus. While a number of studies debate on the ability of economically meaningful variables such as dividend yield, term spread and consumption-wealth ratio to predict future stock returns, an important strand of the literature focuses on how to accurately incorporate the effect of stylized facts such as stochastic volatility and jumps on the data generating process of stock returns. However attempts have produced mixed results and mainly examined mode...