Working Paper
Refine
Year of publication
- 2014 (149)
- 2016 (131)
- 2021 (127)
- 2015 (125)
- 2022 (111)
- 2018 (110)
- 2003 (109)
- 2013 (109)
- 2023 (108)
- 2017 (106)
- 2008 (100)
- 2020 (99)
- 2006 (84)
- 2019 (81)
- 2009 (80)
- 2005 (79)
- 2004 (71)
- 2011 (68)
- 2007 (62)
- 2012 (53)
- 2001 (48)
- 2010 (47)
- 2002 (44)
- 1999 (42)
- 2000 (40)
- 1998 (38)
- 2024 (30)
- 1997 (18)
- 1996 (15)
- 1994 (7)
- 1995 (6)
- 1993 (5)
- 1976 (4)
- 1982 (4)
- 1984 (4)
- 1987 (4)
- 1991 (4)
- 1992 (4)
- 1975 (3)
- 1977 (3)
- 1983 (3)
- 1989 (3)
- 1990 (3)
- 1980 (2)
- 1985 (2)
- 1970 (1)
- 1971 (1)
- 1974 (1)
- 1978 (1)
- 1981 (1)
- 1986 (1)
- 1988 (1)
Document Type
- Working Paper (2353) (remove)
Language
- English (2353) (remove)
Is part of the Bibliography
- no (2353)
Keywords
- Deutschland (115)
- USA (51)
- Geldpolitik (48)
- monetary policy (46)
- Schätzung (45)
- Europäische Union (43)
- Bank (38)
- Corporate Governance (36)
- Monetary Policy (31)
- Inflation (23)
Institute
- Center for Financial Studies (CFS) (1378)
- Wirtschaftswissenschaften (1308)
- Sustainable Architecture for Finance in Europe (SAFE) (740)
- House of Finance (HoF) (606)
- Institute for Monetary and Financial Stability (IMFS) (173)
- Rechtswissenschaft (148)
- Informatik (114)
- Foundation of Law and Finance (50)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (34)
- Gesellschaftswissenschaften (29)
Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset's signal for other assets' returns (cross-predictive signals) and the amount of an asset's return explained by other assets' signals (cross-predicted returns). Empirically, the latter component dominates the former in the overall cross-prediction effects. In the crosssection, cross-predictability gravitates towards small firms that are strongly mispriced and difficult to arbitrage, while it becomes more difficult to cross-predict returns when market capitalization and book-to-market ratio rise.