The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Predicting returns in the stock and bond markets
Open accessAbstract
Several predetermined variables that reflect levels of bond and stock prices appear to predict returns on common stocks of firms of various sizes, long-term bonds of various default risks, and default-free bonds of various maturities. The returns on small-firm stocks and low-grade bonds are more highly correlated in January than in the rest of the year with previous levels of asset prices, especially prices of small-firm stocks. Seasonality is found in several conditional risk measures, but such seasonality is unlikely to explain, and in some cases is opposite to, the seasonal found in mean returns.
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Citations
Cites
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A comprehensive look at the empirical performance of equity premium prediction
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Predicting excess stock returns out of sample: Can anything beat the historical average?
Campbell, J. Y., & Thompson, S. B. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm055 · Cited by 2,919
The Efficient Market Hypothesis and Its Critics
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The Dog That Did Not Bark: A Defense of Return Predictability
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Forecasting the equity risk premium: the role of technical indicators
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Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest
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A trend factor: any economic gains from using information over investment horizons?
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A neural network with a case based dynamic window for stock trading prediction
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Metadata
- Authors
- Keim, D. B., & Stambaugh, R. F.
- Venue
- Journal of Financial Economics
- Publisher
- Elsevier BV
- Published
- 1986-12
- Volume
- 17
- Issue
- 2
- Pages
- 357-390
- ISSN
- 0304-405X (ISSN-L)
- OpenAlex
- W1975161917
- Cited by
- 1,711
- References
- 1
- FWCI
- 37.76
- Type
- journal article
- Language
- en
- Open access
- hybrid
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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