dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Muteba Mwamba, John W.
|
|
dc.contributor.author |
Wohar, Mark E.
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|
dc.date.accessioned |
2018-07-02T10:11:45Z |
|
dc.date.issued |
2018-06 |
|
dc.description.abstract |
Information on partisan conflict is shown to matter in forecasting the U.S. equity premium, especially when accounting for omitted nonlinearities in their relationship, via a nonparametric predictive regression approach over the monthly period 1981:01–2016:06. Unlike as suggested by a linear predictive model, the nonparametric functional coefficient regression that includes the partisan conflict index enhances significantly the out-of-sample excess stock returns predictability. This result is found to be robust when we use a quantile predictive regression framework to capture nonlinearity, especially when the market is found to be in its bullish mode (i.e., upper quantiles of the conditional distribution of the equity premium). |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2019-06-01 |
|
dc.description.librarian |
hj2018 |
en_ZA |
dc.description.uri |
http://www.elsevier.com/locate/frl |
en_ZA |
dc.identifier.citation |
Gupta, R., Mwamba, J.W.M. & Wohar, M.E. 2018, 'The role of partisan conflict in forecasting the US equity premium : a nonparametric approach', Finance Research Letters, vol. 25, pp. 131-136. |
en_ZA |
dc.identifier.issn |
1544-6123 |
|
dc.identifier.issn |
10.1016/j.frl.2017.10.023 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/65285 |
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dc.language.iso |
en |
en_ZA |
dc.publisher |
Elsevier |
en_ZA |
dc.rights |
© 2017 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. 25, pp. 131-136, 2018. doi : 10.1016/j.frl.2017.10.023. |
en_ZA |
dc.subject |
Equity premium |
en_ZA |
dc.subject |
Partisan conflict index |
en_ZA |
dc.subject |
Nonparametric predictive regression |
en_ZA |
dc.subject |
Linear predictive regression |
en_ZA |
dc.subject |
Forecasting |
en_ZA |
dc.subject |
United States (US) |
en_ZA |
dc.subject |
Volatility |
en_ZA |
dc.subject |
Predictablity |
en_ZA |
dc.subject |
Model |
en_ZA |
dc.title |
The role of partisan conflict in forecasting the U.S. equity premium : a nonparametric approach |
en_ZA |
dc.type |
Postprint Article |
en_ZA |