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- W4283732531 abstract "• This study develops a new predictor, namely, RSJV, using the realized semivariance framework to reflect the proportion of upward (downward) variance in a specific trading day. • In-sample results indicate that the RSJV can exert a significantly negative impact on the S&P 500 return. • Out-of-sample results suggest that the RSJV can successfully predict the U.S. equity premium. • The economic constrain can help to improve the accuracy of return predictability. An increasing number of studies declare that oil volatility information exhibits superior forecasting performance for equity premiums. This study develops a new predictor, namely, RSJV, using the realized semi-variance framework to reflect the proportion of upward (downward) variance on a specific trading day. Our in-sample and out-of-sample results reveal that the RSJV can outperform the 14 popular macroeconomic indicators of Welch and Goyal (2008). Furthermore, our results reconfirm that the economic constraint can help to improve the accuracy of return predictability." @default.
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- W4283732531 date "2022-10-01" @default.
- W4283732531 modified "2023-10-17" @default.
- W4283732531 title "Stock market return predictability revisited: Evidence from a new index constructing the oil market" @default.
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- W4283732531 doi "https://doi.org/10.1016/j.frl.2022.103106" @default.
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