Estimation of expected return integrating real-time asset prices implied information and historical data
In this paper, we develop a novel estimation for expected stock returns combining forward-
looking information implied by real-time asset prices and backward-looking information …
looking information implied by real-time asset prices and backward-looking information …
Market Efficiency and Equity Risk Premium Predictability
L dos Santos Maciel, RF da Silva - International Journal of …, 2024 - Wiley Online Library
This work examines equity risk premium predictability in periods of market efficiency and
market inefficiency. Efficiency is measured by the return's degree of multifractality, calculated …
market inefficiency. Efficiency is measured by the return's degree of multifractality, calculated …
Separating Wheat from Chaff: A Constraint-Based Model for Predicting Risk Premiums
Y Yuan, Y Qu, T Wang - Available at SSRN 4759634, 2024 - papers.ssrn.com
This research introduces a novel constraint-based model framework for predicting risk
premiums, thoroughly examining the mechanism and limitations of existing models in the …
premiums, thoroughly examining the mechanism and limitations of existing models in the …