Out-of-Sample Predictability

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns featured image

Higher Moments Matter! Cross-Sectional (Higher) Moments and the Predictability of Stock Returns

In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns.

Sebastian Stöckl
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns featured image

Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns

In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.

Sebastian Stöckl

The Economic Benefit of Forecasting Market Components for Mean-Variance Investors

Do forecasting errors from direct predictions of market components out-way the additional errors introduced by an intermediary asset pricing model?

lars-kaiser