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

No Thumbnail Available
File version
Author(s)
Shi, Qi
Li, Bin
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
2020
Size
File type(s)
Location
License
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 plausible pricing kernel may predict the future state of economy.

Journal Title
International Review of Finance
Conference Title
Book Title
Edition
Volume
Issue
Thesis Type
Degree Program
School
Publisher link
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement
Item Access Status
Note
This publication has been entered in Griffith Research Online as an advanced online version.
Access the data
Related item(s)
Subject
Accounting, auditing and accountability
Banking, finance and investment
Social Sciences
Business, Finance
Business & Economics
bootstrapped critical values
future state of economy
Persistent link to this record
Citation
Shi, Q; Li, B, Forecasting the future state of the economy in the United States: The role of tradable "new" risk factors, International Review of Finance, 2020
Collections