Southville International School and Colleges Search for 'su:"Predictability."'

Working memory and sequence learning in the Hebb digits task : awareness is predicted by individual differences in operation span /

By Witz, Dawn..
2012 .
125 : 1, page 49

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Four centuries of return predictability /

Amsterdam ELSEVIER 2018 .
Pages 248-263

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Four centuries of return predictability / by Benjamin Golez & Peter Koudijs

Amsterdam Elsevier 2018 .
Pages 197-416 , Abstract We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands and UK (1629–1812), UK (1813–1870), and US (1871–2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for annual and multi-annual horizons and works both in- and out-of-sample, providing strong evidence that expected returns in stock markets are time-varying. In part, this variation is related to the business cycle, with expected returns increasing in recessions. We also find that, except for the period after 1945, dividend yields predict dividend growth rates.

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Market intraday momentum / by Lei Gao, Yufeng Han, Sophia Zhengzi Li & Guofu Zhou

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Pages 394-414 , Abstract Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslavsky’s (2016) model of infrequent portfolio rebalancing but also with a model of late-informed trading near the market close.

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How Does the Stock Market Absorb Shocks?

By Murray Z. Frank & Ali Sanati.
CL | elsevier 2018 .
CL , Journal of Financial Economics

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Day of the week and the cross-section of returns

By Justin Birru .
elsevier 2018 .
pages 182-214, October 2018

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