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Type	Working Paper
Scope	Discipline-based scholarship
Title	On the Predictability of Stock Prices: a Case for High and Low Prices
Organization Unit	Financial Economics (Thorsten Hens)
Authors	Angelo Ranaldo Massimiliano Caporin Paolo Santucci de Magistris
Language	English
Series Name	Swiss National Bank
Number	11
Date	2011
Abstract Text	Contrary to the common wisdom that asset prices are hardly possible to forecast, we show that high and low prices of equity shares are largely predictable. We propose to model them using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating relationship and the long memory of their difference (i.e. the range), which is a measure of realized volatility. Investment strategies based on FVECM predictions of high/low US equity prices
Official URL	http://www.snb.ch/n/mmr/reference/working_paper_2011_11/source/working_paper_2011_11.n.pdf
Export	BibTeX EP3 XML (ZORA)