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Can I read Forecasting US stock market returns by the aggressive stock-selection opportunity on EtoBox?
Forecasting US stock market returns by the aggressive stock-selection opportunity by Yan Li; Chao Liang; Toan Luu Duc Huynh is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Forecasting US stock market returns by the aggressive stock-selection opportunity about?
We propose a measurement of aggressive stock-selection opportunity based on positive alphas and idiosyncratic volatilities of cross-section stocks, and examine the role of aggressive stockselection opportunity in predicting stock market returns. For the US stock market, we find that the change of aggressive stock-selection opportunity has a significant and negative coefficient for predicting future one-month market returns. The out-of-sample results also show the change of aggressive stock-selection opportunity improves the return forecasting performance and increases investors' economic values. In particular, the predictive information of the change of aggressive stock-selection opportunity is independent of traditional macroeconomic predictors. The economic channel evidence shows that the change of aggressive stock-selection opportunity increases future market volatility and then results in lower market returns.
Who reads Forecasting US stock market returns by the aggressive stock-selection opportunity?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Yan Li; Chao Liang; Toan Luu Duc Huynh
- Publisher
- Elsevier BV
- Published
- 2022
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)