Advanced search
Publication Cover
Econometric Reviews Volume 37, 2018 - Issue 1
Submit an article Journal homepage
749
Views
9
CrossRef citations to date
0
Altmetric
Original Articles

Stock return predictability: A factor-augmented predictive regression system with shrinkage method

Saburo OhnoAmundi Japan, Ltd., Chiyoda-ku, Tokyo, JapanCorrespondence[email protected]
&
Tomohiro AndoGraduate School of Business, Keio University Yokohama, Kanagawa, Japan
Pages 29-60 | Published online: 23 Nov 2015

Citations (9)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

Jingjie Xiang, Gangzheng Guo & Jiaolong Li. (2023) Determining the number of factors in constrained factor models via Bayesian information criterion. Econometric Reviews 42:1, pages 98-122.
Read now

Articles from other publishers (8)

Mahsa Ghorbani & Edwin K. P. Chong. (2021) A dimension reduction method for stock-price prediction using multiple predictors. Operational Research 22:3, pages 2859-2878.
Crossref
Matei Demetrescu & Christoph Roling. (2021) Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss. Econometrics and Statistics.
Crossref
Alessandro Giovannelli, Daniele Massacci & Stefano Soccorsi. (2021) Forecasting stock returns with large dimensional factor models. Journal of Empirical Finance 63, pages 252-269.
Crossref
Yingying Xu & Jichang Zhao. (2020) Can sentiments on macroeconomic news explain stock returns? Evidence form social network data. International Journal of Finance & Economics.
Crossref
Mahsa Ghorbani & Edwin K. P. Chong. (2020) Stock price prediction using principal components. PLOS ONE 15:3, pages e0230124.
Crossref
Gloria González-Rivera, Javier Maldonado & Esther Ruiz. (2019) Growth in stress. International Journal of Forecasting 35:3, pages 948-966.
Crossref
Alessandro Giovannelli, Daniele Massacci & Stefano Soccorsi. (2017) Forecasting Stock Returns with Large Dimensional Factor Models. SSRN Electronic Journal.
Crossref
Tomohiro Ando & Jushan Bai. (2015) Clustering Huge Number of Financial Time Series: A Panel Data Approach with High-Dimensional Predictors and Factor Structures. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.