dc.contributor.author | BEKIROS, Stelios D. | |
dc.contributor.author | GUPTA, Rangan | |
dc.contributor.author | MAJUMDAR, Anandamayee | |
dc.date.accessioned | 2017-01-10T09:28:47Z | |
dc.date.available | 2017-01-10T09:28:47Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Finance research letters, 2016, Vol. 18, pp. 291-296 | |
dc.identifier.issn | 1544-6123 | |
dc.identifier.uri | https://hdl.handle.net/1814/44655 | |
dc.description.abstract | Information on economic policy uncertainty does matter in predicting the US equity premium, especially when accounting for structural instabilities and omitted nonlinearities in their relationship, via a quantile predictive regression approach over the monthly period 1900:1-2014:2. Unlike as suggested by a linear mean-based predictive model, the extended quantile regression model with the incorporation of the EPU proxy, enhances significantly the out-of-sample stock return predictability. This is observed especially when the market is neutral, exhibits a slide or mildly upward trending behavior, yet not when the market appears to turn highly bullish. | en |
dc.language.iso | en | en |
dc.publisher | Elsevier | en |
dc.relation.ispartof | Finance research letters | |
dc.subject | Stock markets | en |
dc.subject | Economic uncertainty | en |
dc.subject | Predictability | en |
dc.subject | Quantile regression | en |
dc.subject | C22 | en |
dc.subject | C53 | en |
dc.subject | E60 | en |
dc.subject | G10 | en |
dc.title | Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis | en |
dc.type | Article | en |
dc.identifier.doi | 10.1016/j.frl.2016.01.012 | |
dc.identifier.volume | 18 | |
dc.identifier.startpage | 291 | |
dc.identifier.endpage | 296 | |
eui.subscribe.skip | true | |