Predicting Financial Returns
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Financial Markets".
Deadline for manuscript submissions: closed (27 May 2022) | Viewed by 3788
Special Issue Editors
Interests: commodities modelling; financial econometrics; high frequency data; volatility modelling
Interests: econometrics: semiparametric and nonparametric estimation; time series econometrics: volatility and interest rates estimation; simulation and modelling
Special Issues, Collections and Topics in MDPI journals
Special Issue Information
Dear colleagues,
A recurring question that arises in the financial literature is whether stock returns are predictable. Essentially, the debate is divided into studies searching for the best predictors of stock returns and studies stating their unpredictability. In addition, recent results have indicated that the predictability of stock returns significantly increases when the variance risk premium is considered in predictive models of stock market returns. Predictability rates are still small; however, they can often be increased by adding other predictors, such as short and long interest rate values, in the models. Further, new policies that are driven by climate change will likely affect financial markets whose risk assessment may benefit from incorporating new predictors, such as carbon emissions or electricity spot prices, into their models.
The aim of this Special Issue is to shed more light onto the problem of the predictability of stock returns by accumulating novel research on this matter. We are eager to receive new advances in modelling, estimation and forecasting that have been applied to the predictability of stock returns. We encourage submissions of theoretical and empirical research on these issues, including parametric, nonparametric and machine learning tools.
Dr. Helena Veiga
Dr. Isabel Casas
Guest Editors
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
