dc.contributor.author |
Bekiros, Stelios
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Majumdar, Anandamayee
|
|
dc.date.accessioned |
2016-11-01T13:13:49Z |
|
dc.date.issued |
2016-08 |
|
dc.description.abstract |
Information on economic policy uncertainty does matter in predicting the US equity premium,
especially when accounting for structural instabilities and omitted nonlinearities in
their relationship, via a quantile predictive regression approach over the monthly period
1900:1–2014:2. Unlike as suggested by a linear mean-based predictive model, the extended
quantile regression model with the incorporation of the EPU proxy, enhances significantly
the out-of-sample stock return predictability. This is observed especially when the market
is neutral, exhibits a slide or mildly upward trending behavior, yet not when the market
appears to turn highly bullish. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2017-08-31 |
|
dc.description.librarian |
hb2016 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/frl |
en_ZA |
dc.identifier.citation |
Bekiros, S, Gupta, R & Majumdar, A 2016, 'Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis', Finance Research Letters, vol. 18, pp. 291-296. |
en_ZA |
dc.identifier.issn |
1544-6123 |
|
dc.identifier.other |
10.1016/j.frl.2016.01.012 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/57612 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2016 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 18, pp. 291-296, 2016. doi : 10.1016/j.frl.2016.01.012. |
en_ZA |
dc.subject |
Stock markets |
en_ZA |
dc.subject |
Economic uncertainty |
en_ZA |
dc.subject |
Predictability |
en_ZA |
dc.subject |
Quantile regression |
en_ZA |
dc.title |
Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis |
en_ZA |
dc.type |
Postprint Article |
en_ZA |