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  • Forecasting the future state of the economy in the United States: The role of tradable "new" risk factors

    Author(s)
    Shi, Qi
    Li, Bin
    Griffith University Author(s)
    Li, Bin
    Year published
    2020
    Metadata
    Show full item record
    Abstract
    We investigate the predictive power of several innovative tradable risk factors that have proved to be competent factors in recent asset pricing studies. Our evidence indicates that all these risk factors can predict the future state of the economy to some significant extent, and they appear to perform better in short‐horizon than in long‐horizon forecasting. Using a bootstrap simulation, our estimations of bootstrapped critical values robustly reject the criticism that our significance of statistics is overstated or understated. Such results lend support to Cochrane's argument: that a competent pricing risk factor in a ...
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    We investigate the predictive power of several innovative tradable risk factors that have proved to be competent factors in recent asset pricing studies. Our evidence indicates that all these risk factors can predict the future state of the economy to some significant extent, and they appear to perform better in short‐horizon than in long‐horizon forecasting. Using a bootstrap simulation, our estimations of bootstrapped critical values robustly reject the criticism that our significance of statistics is overstated or understated. Such results lend support to Cochrane's argument: that a competent pricing risk factor in a plausible pricing kernel may predict the future state of economy.
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    Journal Title
    International Review of Finance
    DOI
    https://doi.org/10.1111/irfi.12300
    Note
    This publication has been entered in Griffith Research Online as an advanced online version.
    Subject
    Accounting, auditing and accountability
    Banking, finance and investment
    Social Sciences
    Business, Finance
    Business & Economics
    bootstrapped critical values
    future state of economy
    Publication URI
    http://hdl.handle.net/10072/396211
    Collection
    • Journal articles

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