Asymmetric Dependence, Persistence and Firm-Level Stock Return Predictability

Business & Economics

• Asymmetric Dependence 100%
• Stock Return Predictability 98%
• Persistence 61%
• Excess Returns 12%
• Stock Market 9%
• Equity 7%
• Spillover Effects 6%
• Financial Markets 6%
• United States of America 5%
• Predictors 5%
• Autocorrelation 5%
• Predictive Regressions 4%
• Return Predictability 4%
• Vector Autoregression Model 3%
• Australian Real Estate Investment Trust 2%
• Coskewness 2%
• Statistics 2%
• Predictability of Stock Returns 2%
• Common Factors 2%
• Econometric Tests 2%
• Autoregressive Process 2%
• Firm-specific Characteristics 2%
• Cyclical Behaviour 2%
• Predictability 2%
• Idiosyncratic Risk 2%
• Efficient Markets 1%
• Investors 1%
• Financial Time Series 1%
• Serials 1%
• Capital Asset Pricing Model 1%
• Granger Causality 1%
• Momentum 1%
• Empirical Test 1%
• Testing 1%
• Stock Returns 1%
• Prediction 1%
• Empirical Results 1%
• Assets 0%