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Stock return predictability in the frequency domain 股票收益在频域的可预测性
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2025-01-16 DOI: 10.1016/j.ijforecast.2024.11.007
Zhifeng Dai , Fuwei Jiang , Jie Kang , Bowen Xue
{"title":"Stock return predictability in the frequency domain","authors":"Zhifeng Dai ,&nbsp;Fuwei Jiang ,&nbsp;Jie Kang ,&nbsp;Bowen Xue","doi":"10.1016/j.ijforecast.2024.11.007","DOIUrl":"10.1016/j.ijforecast.2024.11.007","url":null,"abstract":"<div><div>This paper investigates the role of time–frequency information in dimension reduction prediction of stock returns. Using the long-term wavelet component of monthly S&amp;P500 excess returns as supervision, we employ a machine learning method to extract the common predictive factor from prevalent macroeconomic variables and construct a new macroeconomic index aligned with stock return prediction. The macroeconomic index exhibits significant predictive power, both in and out of sample, at the market and portfolio levels. It outperforms all individual macroeconomic predictors and the factors based on higher frequency information of realized returns. Our findings demonstrate substantial economic value of the new index in asset allocation. Moreover, we also observe a complementary relation between macroeconomic index and investor sentiment. The predictive power is most pronounced during high-economic-uncertainty periods when investors are likely to underreact to fundamental signals and stems from cash flow predictability channel.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 1126-1147"},"PeriodicalIF":6.9,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling and predicting failure in US credit unions 对美国信用合作社破产进行建模和预测
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2025-01-16 DOI: 10.1016/j.ijforecast.2024.12.004
Qiao Peng , Donal McKillop , Barry Quinn , Kailong Liu
{"title":"Modeling and predicting failure in US credit unions","authors":"Qiao Peng ,&nbsp;Donal McKillop ,&nbsp;Barry Quinn ,&nbsp;Kailong Liu","doi":"10.1016/j.ijforecast.2024.12.004","DOIUrl":"10.1016/j.ijforecast.2024.12.004","url":null,"abstract":"<div><div>This study presents a random forest (RF)-based machine learning model to predict the liquidation of US credit unions one year in advance. The model demonstrates impressive accuracy on the test set (97.9% accuracy, with 2.0% false negatives and 8.8% false positives) when utilizing all 44 factors. Simplifying the model to only the top five factors based on feature importance analysis results in a slightly lower, but still significant, accuracy on the test set (92.2% accuracy, with 7.8% false negatives and 17.6% false positives). Comparisons with seven other classification methods verify the superiority of the RF model. This study also uses the Cox proportional-hazards model and Shapley value-based approaches to interpret key feature significance and interactions. The model provides regulators and credit unions with a valuable early warning system for potential failures, enabling corrective measures or strategic mergers to ultimately protect the National Credit Union Share Insurance Fund.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 1237-1259"},"PeriodicalIF":6.9,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The decrease in confidence with forecast extremity 随着预测的极值，信心的下降
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2025-01-16 DOI: 10.1016/j.ijforecast.2024.07.004
Doron Sonsino , Yefim Roth
{"title":"The decrease in confidence with forecast extremity","authors":"Doron Sonsino ,&nbsp;Yefim Roth","doi":"10.1016/j.ijforecast.2024.07.004","DOIUrl":"10.1016/j.ijforecast.2024.07.004","url":null,"abstract":"<div><div>A large panel of chief financial officers’ forecasts of the S&amp;P 500 annual returns and four experiments suggest that forecast confidence decreases as the forecasts diverge from zero, in the positive or negative direction. This decreased confidence is reflected in longer forecast intervals, larger perceived volatility estimates, and weaker belief in the accuracy of the predictions. <span><span>De Bondt</span></span>’s (<span><span>1993</span></span>) forecast hedging intensifies with the extremity of the forecasts, but the decrease in confidence is sustained when the intervals are symmetrized. Imposing cumulative prospect theory preferences on the CFOs, permutation tests show that the decreased confidence delays the response to optimistic expectations and alleviates miscalibration, although the optimistic CFOs still discount the VIX by more than 50%. The paper thus reveals a self-corrective mechanism that partially, but far from fully, offsets the overconfidence hazards.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 877-893"},"PeriodicalIF":6.9,"publicationDate":"2025-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144212027","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecast value added in demand planning 在需求规划中预测附加值
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-26 DOI: 10.1016/j.ijforecast.2024.07.006
Robert Fildes , Paul Goodwin , Shari De Baets
{"title":"Forecast value added in demand planning","authors":"Robert Fildes ,&nbsp;Paul Goodwin ,&nbsp;Shari De Baets","doi":"10.1016/j.ijforecast.2024.07.006","DOIUrl":"10.1016/j.ijforecast.2024.07.006","url":null,"abstract":"<div><div>Forecast value added (FVA) analysis is commonly used to measure the improved accuracy and bias achieved by judgmentally modifying system forecasts. Assessing the factors that prompt such adjustments, and their effect on forecast performance, is important in demand forecasting and planning. To address these issues, we collected the publicly available data on around 147,000 forecasts from six studies and analysed them using a common framework. Adjustments typically led to improvements in bias and accuracy for only just over half of stock keeping units (SKUs), though there was variation across datasets. Positive adjustments were confirmed as more likely to worsen performance. Negative adjustments typically led to improvements, particularly when they were large. The evidence that forecasters made effective use of relevant information not available to the algorithm was weak. Instead, they appeared to respond to irrelevant cues, or those of less diagnostic value. The key question is how organizations can improve on their current forecasting processes to achieve greater forecast value added. For example, a debiasing procedure applied to adjusted forecasts proved effective at improving forecast performance.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 649-669"},"PeriodicalIF":6.9,"publicationDate":"2024-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579226","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multivariate dynamic mixed-frequency density pooling for financial forecasting 金融预测的多变量动态混频密度池
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-25 DOI: 10.1016/j.ijforecast.2024.11.011
Audronė Virbickaitė , Hedibert F. Lopes , Martina Danielova Zaharieva
{"title":"Multivariate dynamic mixed-frequency density pooling for financial forecasting","authors":"Audronė Virbickaitė ,&nbsp;Hedibert F. Lopes ,&nbsp;Martina Danielova Zaharieva","doi":"10.1016/j.ijforecast.2024.11.011","DOIUrl":"10.1016/j.ijforecast.2024.11.011","url":null,"abstract":"<div><div>This article investigates the benefits of combining information available from daily and intraday data in financial return forecasting. The two data sources are combined via a density pooling approach, wherein the individual densities are represented as a copula function, and the potentially time-varying pooling weights depend on the forecasting performance of each model. The dependence structure in the daily frequency case is extracted from a standard static and dynamic conditional covariance modeling, and the high-frequency counterpart is based on a realized covariance measure. We find that incorporating both high- and low-frequency information via density pooling provides significant gains in predictive model performance over any individual model and any model combination within the same data frequency. A portfolio allocation exercise quantifies the economic gains by producing investment portfolios with the smallest variance and highest Sharpe ratio.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 1184-1198"},"PeriodicalIF":6.9,"publicationDate":"2024-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The contribution of realized variance–covariance models to the economic value of volatility timing 已实现的方差-协方差模型对波动率时序经济价值的贡献
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-20 DOI: 10.1016/j.ijforecast.2024.11.010
Luc Bauwens , Yongdeng Xu
{"title":"The contribution of realized variance–covariance models to the economic value of volatility timing","authors":"Luc Bauwens ,&nbsp;Yongdeng Xu","doi":"10.1016/j.ijforecast.2024.11.010","DOIUrl":"10.1016/j.ijforecast.2024.11.010","url":null,"abstract":"<div><div>Realized variance–covariance models define the conditional expectation of a realized variance–covariance matrix as a function of past matrices using a GARCH-type structure. We evaluate the forecasting performance of various models in terms of economic value, measured through economic loss functions, across two datasets. Our empirical findings reveal that models incorporating realized volatilities offer significant economic value and outperform GARCH models relying solely on daily returns for daily and weekly horizons. Among two realized variance–covariance measures, using a directly rescaled intraday measure for full-day estimation provides more economic value than employing overnight returns, which tends to produce noisier estimators of overnight covariance, diminishing their predictive effectiveness. The HEAVY-H model for the variance–covariance matrix of the daily return demonstrates superior or comparable performance to the best-performing realized variance–covariance models, making it a preferred choice for empirical analysis.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 1165-1183"},"PeriodicalIF":6.9,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fan charts 2.0: Flexible forecast distributions with expert judgement 扇形图2.0：灵活的预测分布和专家判断
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-20 DOI: 10.1016/j.ijforecast.2024.11.009
Andrej Sokol
{"title":"Fan charts 2.0: Flexible forecast distributions with expert judgement","authors":"Andrej Sokol","doi":"10.1016/j.ijforecast.2024.11.009","DOIUrl":"10.1016/j.ijforecast.2024.11.009","url":null,"abstract":"<div><div>I propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a specific view of the future evolution of some of the explanatory variables. This addresses a shortcoming of existing quantile regression-based models in settings that require forecasts to be conditional on technical assumptions, such as most forecasting processes within policy institutions. Through an application to house price inflation in the euro area, I show that CQR provides a viable alternative to conditional density forecasting with Bayesian VARs, with added flexibility and further insights that do not come at the cost of forecasting performance.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 1148-1164"},"PeriodicalIF":6.9,"publicationDate":"2024-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211937","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Partisan bias, attribute substitution, and the benefits of an indirect format for eliciting forecasts and judgments of trend 党派偏见，属性替代，以及间接格式对趋势的预测和判断的好处
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-10 DOI: 10.1016/j.ijforecast.2024.11.005
David A. Comerford , Jack B. Soll
{"title":"Partisan bias, attribute substitution, and the benefits of an indirect format for eliciting forecasts and judgments of trend","authors":"David A. Comerford ,&nbsp;Jack B. Soll","doi":"10.1016/j.ijforecast.2024.11.005","DOIUrl":"10.1016/j.ijforecast.2024.11.005","url":null,"abstract":"<div><div>A majority of Americans reported the economy to be worsening when objective indicators showed it to be recovering. We show that this is symptomatic of attribute substitution—people answer a taxing question as though asked a related easy-to-answer question. An implication of attribute substitution is that forecasts will vary across a direct format, which asks whether the economy will be better in 12 months, versus an indirect format, which asks respondents to rate both current conditions and the conditions they expect for 12 months’ time. We compare these formats in three studies and over 2,000 respondents. Relative to the direct format, the indirect format delivers trends that show greater consensus across Republicans and Democrats; are less equivocal about the course of the US economy; and are more realistic about the magnitude of change in opinion poll data.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 2","pages":"Pages 702-715"},"PeriodicalIF":6.9,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143579228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The structural Theta method and its predictive performance in the M4-Competition 结构Theta方法及其在m4竞赛中的预测性能
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-10 DOI: 10.1016/j.ijforecast.2024.08.003
Giacomo Sbrana , Andrea Silvestrini
{"title":"The structural Theta method and its predictive performance in the M4-Competition","authors":"Giacomo Sbrana ,&nbsp;Andrea Silvestrini","doi":"10.1016/j.ijforecast.2024.08.003","DOIUrl":"10.1016/j.ijforecast.2024.08.003","url":null,"abstract":"<div><div>The Theta method is a well-established prediction benchmark widely used in forecast competitions. This method has received significant attention since it was introduced more than 20 years ago, with several authors proposing variants to improve its performance. This paper considers multiple sources of error versions for Theta, belonging to the family of structural time series models. It investigates its out-of-sample forecast performance using the extensive M4-Competition dataset, which includes 100,000 time series. We compare the proposed structural Theta model against several benchmarks, including all variants of the Theta method. The results demonstrate its remarkable predictive abilities as it outperforms all its variants and competitors, emerging as a solid benchmark for use in forecast competitions.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 940-952"},"PeriodicalIF":6.9,"publicationDate":"2024-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fundamental determinants of exchange rate expectations 汇率预期的基本决定因素
IF 6.9 2区 经济学
International Journal of Forecasting Pub Date : 2024-12-06 DOI: 10.1016/j.ijforecast.2024.09.004
Joscha Beckmann , Robert L. Czudaj
{"title":"Fundamental determinants of exchange rate expectations","authors":"Joscha Beckmann ,&nbsp;Robert L. Czudaj","doi":"10.1016/j.ijforecast.2024.09.004","DOIUrl":"10.1016/j.ijforecast.2024.09.004","url":null,"abstract":"<div><div>This paper provides a new perspective on the expectations-building mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. Real-time survey data is assessed for 29 economies from 2002 to 2023, and expectations regarding GDP growth, inflation, interest rates, and current accounts are considered. Our empirical findings show that fundamentals expectations are more important over longer than shorter horizons. We find that an expected increase in GDP growth relative to the US leads to an expected appreciation of the domestic currency. In contrast, higher relative inflation expectations lead to an expected depreciation, a finding consistent with purchasing power parity. Our results also indicate that the expectation-building process differs systematically across pessimistic and optimistic forecasts, with the former paying more attention to fundamentals expectations. Finally, we also observe that fundamentals expectations have some explanatory power for forecast errors, especially for longer horizons.</div></div>","PeriodicalId":14061,"journal":{"name":"International Journal of Forecasting","volume":"41 3","pages":"Pages 1003-1021"},"PeriodicalIF":6.9,"publicationDate":"2024-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144211934","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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