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Keywords: Present value model
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2022) 11 (2): 375–381.
Published: 03 May 2022
... for providing code and data. © 2022 Bryan Kelly and Seth Pruitt 2022 Hyuna Park Licensed re-use rights only Return prediction Present value model Partial least squares Three-pass regression filter G10 G12 G14 G35 Throughout we refer to Kelly and Pruitt (2013) as “KP”. We also...
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2021) 10 (3): 409–418.
Published: 02 August 2021
...Dan Gabriel Anghel; Petre Caraiani In this paper, we revisit and extend the analysis in Shiller (1981) to an updated sample. The main puzzling result of the paper is that the fundamental present value model of stock prices predicts a volatility at odds with the data: the stock prices are much...
Includes: Supplementary data
