kako citirati ovaj članak
podeli ovaj članak


  • citati u SCIndeksu: [1]
  • citati u CrossRef-u:0
  • citati u Google Scholaru:[]
  • posete u poslednjih 30 dana:1
  • preuzimanja u poslednjih 30 dana:0


članak: 7 od 19  
Back povratak na rezultate
2016, vol. 63, br. 3, str. 273-291
Does debt ceiling and government shutdown help in forecasting the us equity risk premium?
(naslov ne postoji na srpskom)
Department of Economics, University of Pretoria, South Africa

e-adresagoodness.aye@gmail.com, dealed@lantic.net, rangan.gupta@up.ac.za
Ključne reči: equity risk premium forecasting; debt ceiling; government shutdown; out-of-sample forecasts; asset allocation
(ne postoji na srpskom)
This article evaluates the predictability of the equity risk premium in the United States by comparing the individual and complementary predictive power of macroeconomic variables and technical indicators using a comprehensive set of 16 economic and 14 technical predictors over a monthly out-ofsample period of 1995:01 to 2012:12 and an in-sample period of 1986:01- 1994:12. In order to do so we consider, in addition to the set of variables used in Christopher J. Neely et al. (2013) and using a more recent dataset, the forecasting ability of two other important variables namely government shutdown and debt ceiling. Our results show that one of the newly added variables namely government shutdown provides statistically significant out-of-sample predictive power over the equity risk premium relative to the historical average. Most of the variables, including government shutdown, also show significant economic gains for a risk averse investor especially during recessions.
Baker, S.R., Bloom, N., Davis, S.J. (2013) Measuring economic policy uncertainty. http://www.policyuncertainty.com/media/BakerBloomDavis.pdf
Balduzzi, P. (1999) Transaction costs and predictability: some utility cost calculations. Journal of Financial Economics, 52(1): 47-78
Brass, C.T. (2011) Shutdown of the federal government: Causes, processes, and effects. http://www.washingtonpost.com/wp-srv/politics/documents/RL34680.pdf
Campbell, J.Y. (2000) Asset Pricing at the Millennium. Journal of Finance, 55(4): 1515-1567
Campbell, J.Y. (1999) Chapter 19 Asset prices, consumption, and the business cycle. u: John Taylor and Michael Woodford [ur.] Handbook of Macroeconomics, Amsterdam: North-Holland, str. 1231-1303
Campbell, J.Y., Thompson, S.B. (2007) Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?. Review of Financial Studies, 21(4): 1509-1531
Clark, T.E., West, K.D. (2007) Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics, 138(1): 291-311
Cochrane, J. (1999) New Facts in Finance. Economic Perspectives, 23(3): 36-58
Cochrane, J.H. (2007) The Dog That Did Not Bark: A Defense of Return Predictability. Review of Financial Studies, 21(4): 1533-1575
Connie, C. (2013) Closed for business?: Government shutdown history. Big Story, September 29. http://bigstory.ap.org/article/closed-business-government-shutdownhistory-0
Damodaran, A. (2013) Equity risk premiums (ERP): Determinants, estimation and implications. The 2013 Edition. http://ssrn.com/abstract=2238064
Diebold, F., Mariano, R. (1995) Comparing predictive accuracy. Journal of Business and Economic Statistics, 13, str. 253-263
Đurić, D.M. (2006) Some of the unanswered questions in finance. Panoeconomicus, vol. 53, br. 2, str. 223-230
Ferreira, M.A., Santa-Clara, P. (2011) Forecasting stock market returns: The sum of the parts is more than the whole. Journal of Financial Economics, 100(3): 514-537
Ferson, W.E., Sarkissian, S., Simin, T.T. (2003) Spurious Regressions in Financial Economics?. Journal of Finance, 58(4): 1393-1413
Giannellis, N., Kanas, A., Papadopoulos, A.P. (2010) Asymmetric volatility spillovers between stock market and real activity: Evidence from the UK and the US. Panoeconomicus, vol. 57, br. 4, str. 429-445
Government Accountability Office (2011) Debt limit: Delays create debt management challenges and increase uncertainty in the treasury market. http://en.wikipedia.org/wiki/Government_Accountability_Office
Goyal, A., Welch, I. (2003) Predicting the Equity Premium with Dividend Ratios. Management Science, 49(5): 639-654
Hansen, P.R., Timmermann, A. (2012) Choice of sample Split in out-of-sample forecast evaluation. European University Institute, Working Paper 2012/10
Katharine, Y. (2014) American exceptionalism and government shutdowns: A comparative constitutional reflection on the 2013 lapse in appropriations. Boston University Law Review, 94(3): 991-1027
Kong, A., Rapach, D.E., Strauss, J.K., Zhou, G. (2011) Predicting Market Components Out of Sample: Asset Allocation Implications. Journal of Portfolio Management, 37(4): 29-41
Lee, C.E., Hook, J. (2013) Obama escalates debt fight. Wall Street Journal, January 14
Mele, A. (2007) Asymmetric stock market volatility and the cyclical behavior of expected returns. Journal of Financial Economics, 86(2): 446-478
Neely, C.J., Rapach, D.E., Tu, J., Zhou, G. (2013) Forecasting the equity risk premium: The role of technical indicators. Federal Reserve Bank of St. Louis Working Paper, 2010-008H
Nippani, S., Smith, S.D. (2010) The increasing default risk of US Treasury securities due to the financial crisis. Journal of Banking & Finance, 34(10): 2472-2480
Rangan, G., Hammoudeh, S., Modise, M.P., Nguyen, D.K. (2013) Can Economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?. University of Pretoria-Department of Economics Working Paper, 2013-51
Rapach, D., Zhou, G. (2013) Forecasting Stock Returns. u: Graham Elliott and Allan Timmermann [ur.] Handbook of Economic Forecasting, Amsterdam: Elsevier, str. 328-383
Rapach, D.E., Wohar, M.E. (2005) Valuation ratios and long-horizon stock price predictability. Journal of Applied Econometrics, 20(3): 327-344
Rapach, D.E., Strauss, J.K., Zhou, G. (2009) Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy. Review of Financial Studies, 23(2): 821-862
Scott, H. (2013) A short history of government shutdowns. NPR News, September 30. http://www.npr.org/2013/09/30/227292952/a-short-history-of-governmentshutdowns
Simin, T. (2008) The Poor Predictive Performance of Asset Pricing Models. Journal of Financial and Quantitative Analysis, 43(02): 355
Tudor, C. (2011) Changes in stock markets interdependencies as a result of the global financial crisis: Empirical investigation on the CEE region. Panoeconomicus, vol. 58, br. 4, str. 525-543
US Department of the Treasury (2013) The potential macroeconomic effect of debt ceiling brinkmanship. http://www.treasury.gov/initiatives/Documents/POTENTIAL%20MACROECONOMIC%20IMPACT%20OF%20DEBT%20CEILING%20BRINKMANSHIP.pdf
Welch, I., Goyal, A. (2007) A Comprehensive Look at The Empirical Performance of Equity Premium Prediction. Review of Financial Studies, 21(4): 1455-1508
West, K.D. (1996) Asymptotic Inference about Predictive Ability. Econometrica, 64(5): 1067

O članku

jezik rada: engleski
vrsta rada: izvorni naučni članak
DOI: 10.2298/PAN1603273A
objavljen u SCIndeksu: 04.07.2016.
Creative Commons License 4.0