| G10-5 RETURN PREDICTABILITY | |||
| This session is comprised of papers on return predictability for a variety of assets, including stocks and foreign exchange. Given its implications for portfolio allocation, the cost of capital, and market efficiency, return predictability is important to academic researchers and practitioners alike. The papers focus on the out-of-sample predictability of asset returns using a host of different predictors. The papers also explore the degrees to which predictability is consistent with rational asset pricing and market frictions/inefficiencies. | |||
| Organizer: David E. Rapach, Saint Louis University — USA | |||
| Chair: David E. Rapach, Saint Louis University — USA | |||
Eric T. Hillebrand, Louisiana State University — USA, Tae-Hwy Lee, University of California-Riverside — USA and Marcelo C. Medeiros, Pontifical Catholic University of Rio de Janeiro — Brazil,
Let's Do It Again: Bagging Equity Premium Predictors |
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Hui Guo, University of Cincinnati — USA, Sandra Mortal and Robert A. Wood, University of Memphis — USA, Robert Savickas, George Washington University — USA,
The Relation Between Aggregate Stock Illiquidity and Expected Excess Market Returns |
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Nikola Gradojevic, Lakehead University — Canada and Christopher J. Neely, Federal Reserve Bank of St. Louis — USA,
The Dynamic Interaction of Trading Flows, Macroeconomic Announcements, and Exchange Rates |
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David E. Rapach and Jack K. Strauss, Saint Louis University — USA, Guofu Zhou, Washington University in St. Louis — USA,
International Stock Return Predictability and Business-Cycle Fluctuations |
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