This document has not been cited yet.

1. Alonso, J. C. & García, J. (2009). Qué tan buenos son los patrones del IGBC para predecir su comportamiento?: Una aplicación con datos de alta frecuencia. Estudios Gerenciales, 25(11),13-36.

2. Ang, A. & Bekaert, G. (2007). Stock return predictability: Is it there? The Review of Financial Studies, 20(3), 651-707.

3. Arango, L. E., González, A. & Posada, C. (2002). Returns and the interest rate: a non-linear relationship in the Bogotá stock market. Applied Financial Economics, 12(11), 835-842.

4. Boyd, J., Hu, J. & Jagannathan, R. (2005). The Stock Market’s Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks. The Journal of Finance, 60(2), 649–672.

5. Campbell, J. Y. (1987). Stock Returns and the Term Structure. Journal of Financial Economics, 18(2), 373–399.

6. Campbell, J. Y. & Ammer, J. (1993). What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns. The Journal of Finance, 48(1), 3–37.

7. Chen, N.-F., Roll, R. & Ross, S.A. (1986). Economic Forces and the Stock Market. Journal of Business, 59(3), 383–403.

8. Cochrane, J. (2007). The Dog that Did Not Bark: A Defense of Return Predictability. The Review of Financial Studies, 21(4), 1533–1575.
   Paper not yet in RePEc: Add citation now
   

9. Cochrane, J. (2011). Presidential Address: Discount Rates. The Journal of Finance, 66(4), 1047-1108.

10. Econometrica, 55(3), 703–708. Ochoa, C. M. & Avendaño, G. I. (2005). The Unification of the Colombian Stock Market: A Step Towards Efficiency–Empirical Evidence. Latin American Business Review, 5(4), 69–98.
    Paper not yet in RePEc: Add citation now
    

11. Fama, E. F. (1981). Stock Returns, Real Activity, Inflation, and Money. The American Economic Review, 71(4), 545-565.

12. Fama, E. F. & Schwert, G. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2), 115–146.

13. Gómez-Sánchez, A.M. & Astaiza-Gómez, J. (2015). Primas de riesgo de renta variable ex-post y ciclos económicos en Colombia: Una investigación empírica utilizando los filtros de Kalman y Hodrick-Prescott. Revista Finanzas y Política Económica, 7(1), 109-129.
    Paper not yet in RePEc: Add citation now
    

14. Geske, R. & Roll, R. (1983). The Fiscal and Monetary Linkage between Stock Returns and Inflation. The Journal of Finance, 38(1), 1–33.

15. Goyal, A. & Welch, I. (2003). Predicting the Equity Premium with Dividend Ratios. Management Science, 49(5), 639–654.

16. Harvey, C. (1991). The World Price of Covariance Risk. The Journal of Finance, 46(1), 111–157.

17. Hjalmarsson, E. (2010). Predicting Global Stock Returns. Journal of Financial and Quantitative Analysis, 45(1), 49–80.

18. Kristjanpoller, W. & Muñoz, R. (2012). Analysis of Day of the Week Effect in the main Latin-American stock markets: an approximation through the Stochastic Dominance Criterion. Estudios de Economía, 39(1), 5-26.
    Paper not yet in RePEc: Add citation now
    

19. Larrain, B. & Yogo, M. (2008). Does firm value move too much to be justified by subsequent changes in cash flow? Journal of Financial Economics, 87(1), 200–226.

20. Lecturas de Economía-Lect. Econ. - No. 91. Medellín, julio-diciembre López-Gaviria: Predictibilidad del mercado accionario colombiano Cutler, D., Poterba, J. & Summers, L. H. (1989). What Moves Stock Prices? Journal of Portfolio Management, 15(2), 4-12.
    Paper not yet in RePEc: Add citation now
    
21. Lecturas de Economía-Lect. Econ. - No. 91. Medellín, julio-diciembre López-Gaviria: Predictibilidad del mercado accionario colombiano Rapach, D., Wohar, M. & Rangvid, J. (2005). Macro variables and international stock return predictability. International Journal of Forecasting, 21(1), 137–166.
    Paper not yet in RePEc: Add citation now
    

22. Lettau, M. & Ludvigson, S. (2005). Expected returns and expected dividend growth. Journal of Financial Economics, 76(3), 583–626.

23. Lo, A. W. & MacKinlay, A. (1988). Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), 41–66.

24. Ludvigson, S. C. & Ng, S. (2009). Macro Factors in Bond Risk Premia. The Review of Financial Studies, 22(12), 5027-5067.

25. Montenegro, A. (2007). El efecto día en la bolsa de valores de Colombia (Documentos de Economía No. 2007-09). Recuperado del Departamento de Economía, Pontificia Universidad Javeriana, Bogota.

26. Nelson, C. R. (1976). Inflation and Rates of Return on Common Stocks. The Journal of Finance, 31(2), 471–483.

27. Newey, W. & West, K. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.

28. Ospina, J. (2007). Características generales del mercado accionario colombiano como mercado emergente. Economía y Desarrollo, 6(1), 105-136.
    Paper not yet in RePEc: Add citation now
    

29. Pearce, D. & Roley, V. (1983). The Reaction of Stock Prices to Unanticipated Changes in Money: A note. The Journal of Finance, 38(4), 1323–1333.

30. Rapach, D., Strauss, J. & Zhou, G. (2013). International Stock Return Predictability: What Is the Role of the United States? The Journal of Finance, 68(4), 1633-1662.

31. Restrepo, M., Zuluaga, S. & Guerra, M. (2002). El mercado de capitales colombiano en los noventa y las firmas comisionistas de bolsa. Colección Economía Colombiana. Bogotá. Fedesarrollo.
    Paper not yet in RePEc: Add citation now
    

32. Sierra, K., Duarte, J. & Ortiz, V. (2015). Predictibilidad de los retornos en el mercado de Colombia e hipótesis de mercado adaptativo. Estudios Gerenciales, 31(137), 411–418.

33. Solnik, B. (1993). The performance of international asset allocation strategies using conditioning information. Journal of Empirical Finance, 1(1), 33–55.

34. Yepes-Rios, B., Gonzalez-Tapia, K. & Gonzalez-Perez, M. (2015). The integration of stock exchanges: The case of the Latin American Integrated Market (MILA) and its impact on ownership and internationalization status in Colombian brokerage firms. Journal of Economics, Finance and Administrative Science, 20(39), 84–93.

1. .

   Full description at Econpapers || Download paper

2. Análisis de eficiencia financiera de las empresas cotizantes en el mercado accionario colombiano para el periodo 2012- 2017. (2021). Maza, Francisco Javier ; Luna, Jorge Armando ; Balseiro, Hctor Daro.
   In: Revista Finanzas y Politica Economica.
   RePEc:col:000443:019653.

   Full description at Econpapers || Download paper

3. Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola.
   In: Papers.
   RePEc:arx:papers:2009.03394.

   Full description at Econpapers || Download paper

4. Colombia’s stock market predictability. (2019). Lopez-Gaviria, Jose Ignacio.
   In: Lecturas de Economía.
   RePEc:lde:journl:y:2019:i:91:p:117-150.

   Full description at Econpapers || Download paper

5. What drives stock returns in Japan?. (2019). Liang, Samuel Xin.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-018-0322-7.

   Full description at Econpapers || Download paper

6. Predicting exchange rate with commodity prices: New evidence from Westerlund and Narayan (2015) estimator with structural breaks and asymmetries. (2019). Salisu, Afees ; Emmanuel, Zachariah ; Alimi, Wasiu A ; Adekunle, Wasiu.
   In: Resources Policy.
   RePEc:eee:jrpoli:v:62:y:2019:i:c:p:33-56.

   Full description at Econpapers || Download paper

7. Predictibilidad del mercado accionario colombiano. (2019). Lopez, Jose Ignacio.
   In: Revista Lecturas de Economía.
   RePEc:col:000174:017449.

   Full description at Econpapers || Download paper

8. Aggregate Expected Investment Growth and Stock Market Returns. (2018). Yu, Jianfeng ; Wang, Huijun ; Li, Jun.
   In: ADBI Working Papers.
   RePEc:ris:adbiwp:0808.

   Full description at Econpapers || Download paper

9. Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Ilomäki, Jukka ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka.
   In: Risks.
   RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

   Full description at Econpapers || Download paper

10. Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

    Full description at Econpapers || Download paper

11. Predictibilidad del Mercado Accionario Colombiano. (2018). LOPEZ, JOSE.
    In: Documentos CEDE.
    RePEc:col:000089:016086.

    Full description at Econpapers || Download paper

12. Robust Bond Risk Premia. (2017). Hamilton, James ; Bauer, Michael.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23480.

    Full description at Econpapers || Download paper

13. The Decline in Asset Return Predictability and Macroeconomic Volatility. (2017). Qian, Charles ; Palomino, Francisco J ; Hsu, Alex.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2017-50.

    Full description at Econpapers || Download paper

14. Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP. (2017). Vaca, Paola Andrea ; Espinosa, Oscar Andres .
    In: Revista de Economía del Caribe.
    RePEc:col:000382:017172.

    Full description at Econpapers || Download paper

15. Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP. (2017). Vaca, Paola Andrea ; Espinosa, Oscar Andres .
    In: Revista de Economía del Caribe.
    RePEc:col:000382:017147.

    Full description at Econpapers || Download paper

16. CAN DEEP MACHINE LEARNING OUTSMART THE MARKET? A COMPARISON BETWEEN ECONOMETRIC MODELLING AND LONG- SHORT TERM MEMORY. (2016). Dezsi, Eva ; Nistor, Ioan Alin .
    In: Romanian Economic Business Review.
    RePEc:rau:journl:v:11:y:2016:i:4.1:p:54-73.

    Full description at Econpapers || Download paper

17. Stock Return Prediction with Fully Flexible Models and Coefficients. (2016). Fu, Rong ; Byrne, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:75366.

    Full description at Econpapers || Download paper

18. Interdependencies and Causalities in Coupled Financial Networks. (2016). Arai, Yuta ; Iyetomi, Hiroshi ; Fujiwara, Yoshi ; Aoyama, Hideaki ; Vodenska, Irena.
    In: PLOS ONE.
    RePEc:plo:pone00:0150994.

    Full description at Econpapers || Download paper

19. Credit Expansion and Neglected Crash Risk. (2016). Xiong, Wei ; Baron, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:22695.

    Full description at Econpapers || Download paper

20. The information content of the sentiment index. (2016). Xing, Yuhang ; Zhang, Xiaoyan ; Wang, Yanchu ; Sibley, Steven E.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:62:y:2016:i:c:p:164-179.

    Full description at Econpapers || Download paper

21. Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2016_029.

    Full description at Econpapers || Download paper

22. Low-beta investment strategies. (2015). Korn, Olaf ; Kuntz, Laura-Chloe .
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:1517.

    Full description at Econpapers || Download paper

23. Testing the lag structure of assets’ realized volatility dynamics. (2015). Camponovo, Lorenzo ; Audrino, Francesco ; Roth, Constantin .
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2015:01.

    Full description at Econpapers || Download paper

24. On the Fundamental Relation Between Equity Returns and Interest Rates. (2014). Choi, Jae Won ; Whitelaw, Robert F. ; Richardson, Matthew P..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20187.

    Full description at Econpapers || Download paper

25. Determining what drives stock returns: Proper inference is crucial: Evidence from the UK. (2014). Wohar, Mark ; Ma, Jun.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:33:y:2014:i:c:p:371-390.

    Full description at Econpapers || Download paper

26. Speculative Asset Prices (Nobel Prize Lecture). (2014). Shiller, Robert.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1936.

    Full description at Econpapers || Download paper

27. Diseño y evaluación retrospectiva de una estrategia de inversión en el mercado bursátil colombiano mediante la maximización del ratio de Sharpe. (2014). Contreras-Pacheco, Orlando ; Vecino, Carlos Enrique ; Bronfman, Roberto Stein .
    In: REVISTA LEBRET.
    RePEc:col:000385:015975.

    Full description at Econpapers || Download paper

28. Sequential Learning, Predictability, and Optimal Portfolio Returns. (2014). Korteweg, Arthur ; Polson, Nicholas ; Johannes, Michael .
    In: Journal of Finance.
    RePEc:bla:jfinan:v:69:y:2014:i:2:p:611-644.

    Full description at Econpapers || Download paper

29. Speculative Asset Prices. (2014). Shiller, Robert.
    In: American Economic Review.
    RePEc:aea:aecrev:v:104:y:2014:i:6:p:1486-1517.

    Full description at Econpapers || Download paper

30. The Economic Impact of Oil on Industry Portfolios. (2013). Casassus, Jaime ; Higuera, Freddy .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:433.

    Full description at Econpapers || Download paper

31. Equity Premia Predictability in the EuroZone. (2013). Silva, Nuno Miguel Barateiro.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2013-22..

    Full description at Econpapers || Download paper

32. Latent Fundamentals Arbitrage with a Mixed Effects Factor Model. (2012). Iquiapaza, Robert ; Bressan, Aureliano ; Gonalves, Andrei Salem .
    In: Brazilian Review of Finance.
    RePEc:brf:journl:v:10:y:2012:i:3:p:317-335.

    Full description at Econpapers || Download paper

33. Credit Spreads and Business Cycle Fluctuations. (2012). Zakrajsek, Egon ; Gilchrist, Simon.
    In: American Economic Review.
    RePEc:aea:aecrev:v:102:y:2012:i:4:p:1692-1720.

    Full description at Econpapers || Download paper

34. On the Timing and Pricing of Dividends. (2012). van Binsbergen, Jules ; koijen, ralph ; Brandt, Michael .
    In: American Economic Review.
    RePEc:aea:aecrev:v:102:y:2012:i:4:p:1596-1618.

    Full description at Econpapers || Download paper

35. On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence. (2011). Jiranyakul, Komain.
    In: MPRA Paper.
    RePEc:pra:mprapa:45583.

    Full description at Econpapers || Download paper

36. Stock Return Predictability and Oil Prices. (2011). Casassus, Jaime ; Higuera, Freddy .
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:406.

    Full description at Econpapers || Download paper

37. Stock return predictability and variance risk premia: statistical inference and international evidence. (2011). Zhou, Hao ; Marrone, James ; Bollerslev, Tim ; Xu, Lai .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2011-52.

    Full description at Econpapers || Download paper

38. How does investor sentiment affect stock market crises?Evidence from panel data. (2011). Beer, Francisca ; Zouaoui, Mohamed ; Nouyrigat, Genevieve .
    In: Working Papers CREGO.
    RePEc:dij:wpfarg:1110304.

    Full description at Econpapers || Download paper

39. US International Equity Investment and Past and Prospective Returns. (2011). Wongswan, Jon ; Warnock, Francis ; Thomas, Charles ; Curcuru, Stephanie E. ; CharlesP. Thomas, .
    In: American Economic Review.
    RePEc:aea:aecrev:v:101:y:2011:i:7:p:3440-55.

    Full description at Econpapers || Download paper

40. Credit risk and Disaster risk. (2010). Gourio, Francois.
    In: 2010 Meeting Papers.
    RePEc:red:sed010:112.

    Full description at Econpapers || Download paper

41. How does investor sentiment affect stock market crises? Evidence from panel data. (2010). Beer, F. ; Zouaoui, M. ; Nouyrigat, G..
    In: Post-Print.
    RePEc:hal:journl:halshs-00534754.

    Full description at Econpapers || Download paper

42. On the Economic Value of Return Predictability. (2010). Han, Yufeng.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2010:v:11:i:1:p:1-33.

    Full description at Econpapers || Download paper

43. Disaster risk and business cycles. (2009). Gourio, Francois.
    In: 2009 Meeting Papers.
    RePEc:red:sed009:1176.

    Full description at Econpapers || Download paper

44. An Empirical Evaluation of the Long-Run Risks Model for Asset Prices. (2009). Yaron, Amir ; Bansal, Ravi ; Kiku, Dana .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15504.

    Full description at Econpapers || Download paper

45. Disasters Risk and Business Cycles. (2009). Gourio, Francois.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15399.

    Full description at Econpapers || Download paper

46. The stock market and aggregate employment. (2009). Zhang, Lu ; Chen, Long.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15219.

    Full description at Econpapers || Download paper

47. The Term Structures of Equity and Interest Rates. (2009). Wachter, Jessica ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14698.

    Full description at Econpapers || Download paper

48. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

    Full description at Econpapers || Download paper

49. Investor flows and stock market returns. (2009). Zheng, Lu ; Boyer, Brian .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:1:p:87-100.

    Full description at Econpapers || Download paper

50. Predictable returns and asset allocation: Should a skeptical investor time the market?. (2009). Wachter, Jessica ; Warusawitharana, Missaka.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:148:y:2009:i:2:p:162-178.

    Full description at Econpapers || Download paper

51. The time-varying policy neutral rate in real-time: A predictor for future inflation?. (2009). Horvath, Roman.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:1:p:71-81.

    Full description at Econpapers || Download paper

52. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole. (2008). Santa-Clara, Pedro ; Ferreira, Miguel.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14571.

    Full description at Econpapers || Download paper

53. Predictive Systems: Living with Imperfect Predictors. (2008). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13804.

    Full description at Econpapers || Download paper

54. Demographics and fluctuations in Dividend/Price. (2008). Favero, Carlo ; Tamoni, Andrea ; Gozluklu, Arie E..
    In: Working Papers.
    RePEc:igi:igierp:345.

    Full description at Econpapers || Download paper

55. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-407.

    Full description at Econpapers || Download paper

56. Estimating the Equity Premium. (2007). Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13423.

    Full description at Econpapers || Download paper

57. Long-run risks and financial markets. (2007). Bansal, Ravi.
    In: Review.
    RePEc:fip:fedlrv:y:2007:i:jul:p:283-300:n:v.89no.4.

    Full description at Econpapers || Download paper

58. Too much cocited documents. This list is not complete

Report date: 2025-02-27 00:47:29 || Missing content? Let us know