Sectoral Corporate Profits and Long‐Run Stock Return Volatility in the United States: A GARCH‐MIDAS Approach
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| Format: | Artículo Open Access |
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Wiley
2024
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| _version_ | 1867006585768771584 |
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| author | Afees Salisu Kazeem O. Isah Ahamuefula Ephraim Ogbonna |
| author_facet | Afees Salisu Kazeem O. Isah Ahamuefula Ephraim Ogbonna Afees Salisu Kazeem O. Isah Ahamuefula Ephraim Ogbonna |
| collection | Wiley Open Access |
| contents | Sectoral Corporate Profits and Long‐Run Stock Return Volatility in the United States: A GARCH‐MIDAS Approach Afees Salisu Kazeem O. Isah Ahamuefula Ephraim Ogbonna Journal of Forecasting ABSTRACTThis study aims to examine the usefulness of corporate profits in predicting the return volatility of sectoral stocks in the United States. We use a GARCH‐MIDAS approach to keep the datasets in their original frequencies. The results show a consistently positive slope coefficient across various sectoral stocks. This implies that higher profits lead to increased trading of stocks and, subsequently, a higher volatility in the long run than usual. Furthermore, the analysis also extends to predictability beyond the in‐sample. We find strong evidence that corporate profits can predict the out‐of‐sample long‐run return volatility of sectoral stocks in the United States. These findings are significant for investors and portfolio managers. 10.1002/for.3207 http://creativecommons.org/licenses/by/4.0/ |
| doi_str_mv | 10.1002/for.3207 |
| format | Artículo Open Access |
| id | wiley_oa_10_1002_for_3207 |
| institution | Wiley Open Access |
| license_str_mv | http://creativecommons.org/licenses/by/4.0/ |
| publishDate | 2024 |
| publisher | Wiley |
| record_format | wiley_oa |
| spellingShingle | Sectoral Corporate Profits and Long‐Run Stock Return Volatility in the United States: A GARCH‐MIDAS Approach Afees Salisu Kazeem O. Isah Ahamuefula Ephraim Ogbonna Journal of Forecasting Sectoral Corporate Profits and Long‐Run Stock Return Volatility in the United States: A GARCH‐MIDAS Approach Afees Salisu Kazeem O. Isah Ahamuefula Ephraim Ogbonna Journal of Forecasting ABSTRACTThis study aims to examine the usefulness of corporate profits in predicting the return volatility of sectoral stocks in the United States. We use a GARCH‐MIDAS approach to keep the datasets in their original frequencies. The results show a consistently positive slope coefficient across various sectoral stocks. This implies that higher profits lead to increased trading of stocks and, subsequently, a higher volatility in the long run than usual. Furthermore, the analysis also extends to predictability beyond the in‐sample. We find strong evidence that corporate profits can predict the out‐of‐sample long‐run return volatility of sectoral stocks in the United States. These findings are significant for investors and portfolio managers. 10.1002/for.3207 http://creativecommons.org/licenses/by/4.0/ |
| title | Sectoral Corporate Profits and Long‐Run Stock Return Volatility in the United States: A GARCH‐MIDAS Approach |
| topic | Journal of Forecasting |
| url | https://onlinelibrary.wiley.com/doi/10.1002/for.3207 |