Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index

This paper analyses the predictive power of the DJIA index returns, measured at different quantiles of its distribution, for future return distribution. The returns measured at quantile 0.75 have predictive power for most quantiles of future returns, except for their median. This result prevails aft...

Full description

Saved in:
Bibliographic Details
Main Authors: Bartosz Gebka, Mark Wohar
Format: Default Article
Published: 2018
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Return predictability
DJIA index
Distribution
Forecasting
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/37368
Tags: Add Tag
No Tags, Be the first to tag this record!

Similar Items