Predicting global stock returns

Journal of Financial and Quantitative Analysis

Volumn 45, Issue 1, 2010, Pages 49-80

  Hjalmarsson, Erik ^a  

^a FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77953563039     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109009990469     Document Type: Review

References (38)

1. Amihud, Y., and C. M. Hurvich. "Predictive Regressions: A Reduced-Bias Estimation Method." Journal of Financial and Quantitative Analysis, 39 (2004), 813-841.
2. Ang, A., and G. Bekaert. "Stock Return Predictability: Is It There?" Review of Financial Studies, 20 (2007), 651-707.
3. Campbell, J. Y. "Consumption-Based Asset Pricing." In Handbook of the Economics of Finance, Vol.1B, G. M. Constantinides, M. Harris, and R. Stulz, eds. Amsterdam: North-Holland (2003).
4. Campbell, J. Y., and J. H. Cochrane. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Journal of Political Economy, 107 (1999), 205-251.
5. Campbell, J. Y., and R. J. Shiller. "Stock Prices, Earnings, and Expected Dividends." Journal of Finance, 43 (1988), 661-676.
6. Campbell, J. Y., and S. B. Thompson. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?" Review of Financial Studies, 21 (2008), 1509-1531.
7. Campbell, J. Y., and M. Yogo. "Efficient Tests of Stock Return Predictability." Journal of Financial Economics, 81 (2006), 27-60.
8. Cavanagh, C. L.; G. Elliott; and J. H. Stock. "Inference in Models with Nearly Integrated Regressors." Econometric Theory, 11 (1995), 1131-1147.
9. Elliott, G.; T. J. Rothenberg; and J. H. Stock. "Efficient Tests for an Autoregressive Unit Root." Econometrica, 64 (1996), 813-836.
10. Fama, E. F., and K. R. French. "Dividend Yields and Expected Stock Returns." Journal of Financial Economics, 22 (1988), 3-25.
11. Fama, E. F., and K. R. French. "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics, 25 (1989), 23-49.
12. Ferson,W. E., and C. R. Harvey. "The Risk and Predictability of International Equity Returns." Review of Financial Studies, 6 (1993), 527-566.
13. Ferson, W. E., and C. R. Harvey. "Sources of Risk and Expected Returns in Global Equity Markets." Journal of Banking and Finance, 18 (1994), 775-803.
14. Harvey, C. R. "The World Price of Covariance Risk." Journal of Finance, 46 (1991), 111-157.
15. Harvey, C. R. "Predictable Risk and Returns in Emerging Markets." Review of Financial Studies, 8 (1995), 773-816.
16. Hjalmarsson, E. "Predicting Global Stock Returns." International Finance Discussion Paper No. 933, Board of Governors of the Federal Reserve System, Washington, DC (2008).
17. Jansson, M., and M. J. Moreira. "Optimal Inference in Regression Models with Nearly Integrated Regressors." Econometrica, 74 (2006), 681-714.
18. Jorion, P., and W. N. Goetzmann. "Global Stock Markets in the Twentieth Century." Journal of Finance, 54 (1999), 953-980.
19. Kaminsky G. L., and S. L. Schmukler. "Short-Run Pain, Long-Run Gain: The Effects of Financial Liberalization." Working Paper, George Washington University (2002).
20. Lewellen, J. "Predicting Returns with Financial Ratios." Journal of Financial Economics, 74 (2004), 209-235.
21. Mankiw, N. G., and M. D. Shapiro. "Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models." Economics Letters, 20 (1986), 139-145.
22. Menzly, L.; T. Santos; and P. Veronesi. "Understanding Predictability." Journal of Political Economy, 112 (2004), 1-47.
23. Moon, H. R., and P. C. B. Phillips. "Estimation of Autoregressive Roots Near Unity Using Panel Data." Econometric Theory, 16 (2000), 927-998.
24. Neyman, J., and E. L. Scott. "Consistent Estimates Based on Partially Consistent Observations." Econometrica, 16 (1948), 1-32.
25. Nickell, S. "Biases in Dynamic Models with Fixed Effects." Econometrica, 49 (1981), 1417-1426.
26. Paye, B. S., and A. Timmermann. "Instability of Return Prediction Models." Journal of Empirical Finance, 13 (2006), 274-315.
27. Pesaran, M. H. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure." Econometrica, 74 (2006), 967-1012.
28. Pesaran, M. H. "Testing Slope Homogeneity in Large Panels." Journal of Econometrics, 142 (2008), 50-93.
29. Pettenuzzo, D., and A. Timmermann. "Predictability of Stock Returns and Asset Allocation under Structural Breaks." Working Paper, University of California at San Diego (2005).
30. Phillips, P. C. B. "Towards a Unified Asymptotic Theory for Autoregression." Biometrika, 74 (1987), 535-547.
31. Phillips, P. C. B. "Regression Theory for Near-Integrated Time Series." Econometrica, 56 (1988), 1021-1043.
32. Phillips, P. C. B., and H. R. Moon. "Linear Regression Limit Theory for Nonstationary Panel Data." Econometrica, 67 (1999), 1057-1111.
33. Phillips, P. C. B., and H. R. Moon. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments." Econometric Reviews, 19 (2000), 263-286.
34. Polk, C.; S. Thompson; and T. Vuolteenaho. "Cross-Sectional Forecasts of the Equity Premium." Journal of Financial Economics, 81 (2006), 101-141.
35. Stambaugh, R. F. "Predictive Regressions." Journal of Financial Economics, 54 (1999), 375-421.
36. Stock, J. H. "Confidence Intervals for the Largest Autoregressive Root in U.S. Economic Time Series." Journal of Monetary Economics, 28 (1991), 435-460.
37. Sul, D.; P. C. B. Phillips; and C. Y. Choi. "Prewhitening Bias in HAC Estimation." Oxford Bulletin of Economics and Statistics, 67 (2005), 517-546.
38. Swamy, P. A. V. B. "Efficient Inference in a Random Coefficient Regression Model." Econometrica, 38 (1970), 311-323.