# Andrew Ang's research while affiliated with The National Bureau of Economic Research and other places

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## Publications (99)

United States university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments on these alternative assets’ returns relative to equities and bonds. At the end of 2012, the typical endowment believes that its private equity investments will outperform a...

The advance refunding of debt is a widespread practice in municipal finance. In an advance refunding, municipalities retire callable bonds early and refund them with bonds with lower coupon rates. We find that 85% of all advance refundings occur at a net present value loss, and that the aggregate losses over the past 20 years exceed $15 billion. We...

About once a quarter. We compute optimal tactical asset allocation (TAA) policies over equities and bonds when both asset returns are predictable. By varying how often the weights are reset, we estimate the benefits and costs of different frequencies of TAA decisions. Tactical tilts taking advantage of predictable stock returns generate approximate...

We introduce a methodology to estimate the historical time series of returns to investment in private equity funds. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners and is robust to sparse data. We decompose private equity returns from 1994 to 2015 into a component due to traded fac...

American university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments about alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that its private equity investments will outperform a portfol...

We introduce a methodology to estimate common real estate returns and cycles across public and private real estate markets. We first place REIT indices and direct real estate — NCREIF appraisal-based and transaction-based indices (NPI and NTBI) — on a comparable basis by adjusting for leverage and sector. We extract a common real estate factor, whi...

We present a model of optimal allocation over liquid and illiquid assets, where illiquidity is the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion, and reduces the allocation to both liquid and illiquid risky assets. Uncertainty about the length of the...

Compared to listed stocks, over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to return premiums in listed markets, the OTC premium for illiquid stocks is several times highe...

Compared to listed stocks, over-the-counter (OTC) stocks are far less liquid, disclose less information, and exhibit lower institutional holdings. We exploit these different market conditions to test theories of cross-sectional return premiums. Compared to return premiums in listed markets, the OTC premium for illiquid stocks is several times highe...

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio choice models incorporating illiquidity risk recommen...

American university and college endowments now hold close to one-third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments about alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that its private equity investments will outperform a portfol...

We introduce a methodology to estimate the historical time series of returns to investment in private equity. The approach requires only an unbalanced panel of cash contributions and distributions accruing to limited partners, and is robust to sparse data. We decompose private equity returns into a component due to traded factors and a time-varying...

Municipal bonds are often "advance refunded." Bonds that are not yet callable are defeasedby creating a trust that pays the interest up to the call date, and pays the call price. Newdebt, generally at lower interest rates, is issued to fund the trust. Issuing new securitiesto fund payments on existing liabilities generally has zero net present valu...

We develop a liability driven investment framework that incorporates downside risk penalties for not meeting liabilities. The shortfall between the asset and liabilities can be valued as an option which swaps the value of the endogenously determined optimal portfolio for the value of the liabilities. The optimal portfolio selection exhibits endogen...

We survey the academic literature that examines the risks and returns of private equity investments, optimal private equity allocation, and compensation contracts for private equity firms. The irregular nature and limited data of private equity investments complicate the estimation and interpretation of standard risk and return measures. These comp...

We survey the academic literature that examines the risks and returns of private equity (PE) investments, optimal PE allocation, and compensation contracts for PE firms. The irregular nature and limited data of PE investments complicate the estimation and interpretation of standard risk and return measures. These complications have led to substanti...

The foundation for a long-term investment strategy is rebalancing to fixed asset class positions, which are determined in a one-period portfolio choice problem where the asset weights reflect the investor’s attitude toward risk. Rebalancing is a counter-cyclical strategy that has worked well even during the Great Depression in the 1930s and during...

Asset owners (principals) typically do not manage their own investments and leave this job to delegated managers (agents). What is best for the asset owner, however, is usually not best for the fund manager. Additional agency conflicts arise when the asset owner does not know the quality and cannot infer the actions of the agent. Principal-agent co...

We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premium for holding real long-term bonds, or the real duration premium, the excess returns of nominal long-term bonds over real bonds which reflects (3) expected inflation and (4) inflation risk, and (5) a real cashflow risk premium, which is the excess r...

We decompose the term structure of expected equity returns into (1) the real short rate, (2) a premium for holding real long-term bonds, or the real duration premium, the excess returns of nominal long-term bonds over real bonds which reflects (3) expected inflation and (4) inflation risk, and (5) a real cashflow risk premium, which is the excess r...

The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser’s game. Hence, under the EMH, a passive strategy is bound eventually...

Option volatilities have significant predictive power for the cross section of stock returns and vice versa. Stocks with large increases in call implied volatilities tend to rise over the following month and increases in put implied volatilities forecast future decreases in next-month stock returns. The spread in average returns and alphas between...

In a present value model, high dividend yields imply that either future dividend growth must be low, or future discount rates must be high, or both. While previous studies have largely focused on the predictability of future returns from dividend yields, dividend yields also strongly predict future dividends, and the predictability of dividend grow...

Long-horizon investors have an edge. They can ride out short-term fluctuations in risk premiums, profit from periods of elevated risk aversions and short-term mispricing, and they can pursue illiquid investment opportunities. The turmoil we have seen in the capital markets over the last decade has increased the competitive advantage of a long inves...

Long‐horizon investors have an edge. They can ride out short‐term fluctuations in risk premiums, profit from periods of elevated risk aversions and short‐term mispricing, and they can pursue illiquid investment opportunities. The turmoil we have seen in the capital markets over the last decade has increased the competitive advantage of a long inves...

When the transitory component of the stochastic discount factors (SDFs) prices the long-term bond, and the permanent component prices other assets, we develop lower bounds on the variance of the permanent component and the transitory component, and on the variance of the ratio of the permanent to the transitory components of SDFs. A salient feature...

Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes captured by regime switching models are identified by an econometric procedure, they often correspond to...

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable heterogeneity across U.S. and European issuers in their sensi...

We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than sto...

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable heterogeneity across U.S. and European issuers in their sensi...

We analyze the cross section of stock returns of firms traded on the over-the-counter (OTC) bulletin board and pink sheets markets. We test whether well-known return patterns in stocks listed on the three major United States exchanges generalize to the less liquid stocks in OTC markets. We find that the illiquidity premium is much higher in OTC mar...

The goal of this paper is to show that the growth rate of the Baltic Dry Index (BDI) has predictive ability for a range of stock markets, which is demonstrated through in-sample tests and out-of-sample statistics. The documented stock return predictability is also of economic significance, as seen by examining the certainty equivalent returns and S...

We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric techniques. We test whether long-run alphas, or averages of conditional alphas over the sample, are equal to zero and derive test statistics for the constancy of factor loadings. The tests can be performed for a single asset or joi...

We study the inflation hedging ability of individual stocks. While the poor inflation hedging ability of the aggregate stock market has long been documented, there is considerable heterogeneity in how individual stock returns covary with inflation. Stocks with good inflation-hedging abilities since 1990 have had higher returns, on average, than sto...

We present a model of optimal allocation to liquid and illiquid assets, where illiquidity risk results from the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity risk leads to increased and state-dependent risk aversion and reduces the allocation to both liquid and illiquid risky assets. Uncertainty about t...

Hedge funds often impose lockups and notice periods to limit the ability of investors to withdraw capital. We model the investor’s decision to withdraw capital as a real option and treat lockups and notice periods as exercise restrictions. Our methodology incorporates time-varying probabilities of hedge fund failure and optimal early exercise. We e...

We investigate the leverage of hedge funds in the time series and cross-section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes...

Build America Bonds (BABs) are a new form of municipal financing introduced in 2009. Investors in BAB municipal bonds receive interest payments that are taxable, but issuers receive a subsidy from the U.S. Treasury. The BAB program has succeeded in lowering the cost of funding for state and local governments with BAB issuers obtaining finance 54 ba...

Implicit tax rates priced in the cross section of municipal bonds are approximately two to three times as high as statutory income tax rates, with implicit tax rates close to 100% using retail trades and above 70% for interdealer trades. These implied tax rates can be identified because a portion of secondary market municipal bond trades involves i...

In a no-arbitrage framework, any variable that affects the pricing of the domestic yield curve has the potential to predict foreign exchange risk premiums. The most widely used interest rate predictor is the difference in short rates across countries, known as carry, but the short rate is only one of many factors affecting domestic yield curves. We...

Option volatilities have significant predictive power for the cross section of stock returns and vice versa. Stocks with large increases in call implied volatilities tend to rise over the following month whereas increases in put implied volatilities forecast future decreases in next-month stock returns. The spread in average returns and alphas betw...

The ability of hedge fund investors to exit a fund by exchanging ownership for cash at the prevailing NAV is often blocked by lockups and notice periods. We model the exit decision as a real option and incorporate lockups and notice periods as exercise restrictions. We compute the cost of these restrictions using a lattice that incorporates the pos...

We develop a lower bound on the variance of the permanent component of stochastic discount factors (SDFs), a lower (upper) bound on the size of the permanent (transitory) component of SDFs, and a lower bound on the variance of the ratio of the permanent to the transitory component of SDFs. A salient feature of our variance bounds is that they incor...

We examine the efficiency of using individual stocks or portfolios as base assets to test asset pricing models using cross-sectional data. The literature has argued that creating portfolios reduces idiosyncratic volatility and allows more precise estimates of factor loadings, and consequently risk premia. We show analytically and empirically that s...

We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model,
the short rate follows a version of the Taylor's (1993, “Discretion Versus Policy Rules in Practice”, Carnegie-Rochester Conference Series on Public Policy, 39, 195–214) rule where the coefficients on the output gap and inflati...

We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric techniques. We test whether long-run alphas, or averages of conditional alphas over the sample, are equal to zero and derive test statistics for the constancy of factor loadings. The tests can be performed for a single asset or joi...

Since the after-fee returns of funds-of-funds are, on average, lower than hedge fund returns, it is easy to conclude that funds-of-funds do not add value compared to hedge funds. However, funds-of-funds should not be evaluated relative to hedge fund returns in publicly reported databases. Instead, the correct fund-of-funds benchmark is the set of d...

We examine the asymptotic efficiency of using individual stocks or portfolios as base assets to test cross-sectional asset pricing models. The literature has argued that creating portfolios reduces idiosyncratic volatility and enables factor loadings, and consequently risk premia, to be estimated more precisely. We show analytically and find empiri...

Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the...

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world market, size, and value factors. The effect is individually...

Recent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or That is, IPO underperformance may result from observing too few star performers ex post than were expected ex ante. We develop a model of IPO performance that captures this intuition by allowing returns to be drawn from mixtures of outst...

Using only the definition of returns, together with a transversality assumption, we demonstrate that given a dividend process, any one of three variables—expected return, return volatility, and the price–dividend ratio—completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, a...

Current research on financial risk management applications of econometrics centres on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness and optimal risk control. We argue that consideration of the model risk a...

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place
greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market
movements. We show that the cross section of stock returns reflects a downside risk premium of approx...

We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. Stocks with high idiosyncratic volatility relative to the Fama and French (1993, "Journal of Financial Economics" 25, 2349) mo...

We exploit the information in the options market to study the risk and risk premium variations around the Nasdaq bubble period. In particular, we investigate whether the dramatic rise and fall of the Nasdaq can be justified by changes in return risk, or there were corresponding unusual shifts in how investors price risks. We specify a model that ac...

Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also inves...

A conditional one-factor model can account for the spread in the average returns of portfolios sorted by book-to-market ratios over the long run from 1926 to 2001. In contrast, earlier studies document strong evidence of a book-to-market effect using OLS regressions over post-1963 data. However, the betas of portfolios sorted by book-to-market rati...

Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time-series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also inves...

The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...

We examine the link between equity risk premiums and demographic changes using a long sample for the United States, Japan, United Kingdom, Germany, and France and a shorter sample for 15 countries. We find demographic variables significantly predict excess returns internationally. However, the demographic predictability previously found in the Unit...

We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The no-arbitrage framework also accommodates backward-loo...

International equity returns are characterized by episodes of high volatility and unusually high correlations coinciding with bear markets. This article provides models of asset returns that match these patterns and illustrates their use in asset allocation. The presence of regimes with different correlations and expected returns is difficult to ex...

Changes in nominal interest rates must be due to either movements in real interest rates or expected inflation, or both. We develop a term structure model with regime switches, time-varying prices of risk and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve is fairly flat at 1.44%, bu...

While many studies document that the market risk premium is predictable and that betas are not constant, the dividend discount model ignores time-varying risk premiums and betas. We develop a model to consistently value cashflows with changing risk-free rates, predictable risk premiums, and conditional betas in the context of a conditional CAPM. Pr...

The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economist...

A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The model does not permit arbitrage. Contrary to previous fin...

A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogeneity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The model does not permit arbitrage. Contrary to previous fin...

Over the long-run from 1926 to 2001, the CAPM can account for the spread in the returns of portfolios sorted by book-to-market ratios. In contrast, using data covering the period after 1963, many studies find strong evidence of a book-to-market effect using conventional asymptotic standard errors. To conduct correct small sample inference, we estim...

If investors are more averse to the risk of losses on the downside than of gains on the upside, investors ought to demand greater compensation for holding stocks with greater downside risk. Downside correlations better capture the asymmetric nature of risk than downside betas, since conditional betas exhibit little asymmetry across falling and risi...

Correlations between international equity market returns tend to increase in highly volatile bear markets, which has led some
to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a U.S.
investor faced with a time-varying investment opportunity set modeled using a regime-switching proces...

We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models forecast better out-of-sample than single-regime models, including an affine multifactor model, but do not always match moments very well. Regime-switching models incorporating int...

Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the...

We examine the predictive power of the dividend yields for forecasting excess returns, cash flows, and interest rates. Dividend
yields predict excess returns only at short horizons together with the short rate and do not have any long-horizon predictive
power. At short horizons, the short rate strongly negatively predicts returns. These results are...

Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional...

We introduce a methodology, with two applications, that incorporates stochastic interest rates, heteroskedasticity and risk aversion into the residual income model. In the first application, goodwill is an affine (constant plus linear term) function where the constant and linear coefficients are time-varying. Homoskedastic risk gives rise to a cons...

Using non-parametric estimation methods, various authors have shown distinct non-linearities in the drift and volatility function of the US short rate, which are inconsistent with standard affine term structure models. We document how a regime-switching model with state-dependent transition probabilities between regimes can replicate the patterns f...

We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, together with latent variables, we investigate how macro variables affect bond prices and the dynamics of...

It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a time-varying investment opportunity set which may be character...

Traditional approaches to valuing equities have largely focused on the Dividend Discount Model. It may be hard to reliably estimate dividend processes in small samples and market participants focus primarily on earnings and other accounting information in analyzing stocks. For these reasons we try to value stocks using earnings and book value. Buil...

This paper presents a dynamic model to demonstrate that, when di¤erences-of-opinion over individual securities have a common component, the valuation of the aggregate market can be higher than its fundamental even if all investors agree on the market fundamental, and the common disagreement drives discount rate news. Using analyst forecast dispersi...

## Citations

... The theory and empirical studies show that migrant remittances can have either a positive or negative impact on economic growth. The optimistic views on the relationship between remittance inflows and economic were supported by empirical studies by (Ocharo, 2015) whilst authors like (Ang, 2007) supported the pessimistic views. Basically theory and empirical studies worker hand in glove, they backup each other. ...

... The results of the study also suggested that in the market relations exists among the prices, return, cash inflow and out flows, trading volume and book to market ratio. From the study of Basu, (1977); suggested that price earning and risk adjusted return are related with each other but different studies offered that dividend yield and price of stock are having correlation with each other (Letzemberger and Ramaswomy, 1979). There are certain influences such as size of the market on the CAPM and Hypothesis of the market as well. ...

... But due to the low variance of consumption growth and inflation and the high variance of holding period returns, the fit is poor and the variance explained by the explanatory variables needs amplifying by having a high coefficient on consumption growth, usually interpreted as the coefficient of relative risk aversion. Adding output and money growth as factors improves fit a little - Ang and Piazzesi (2003) -but assuming non-additive utility does not, Smith et al. (2008). The problem for our purposes, as shown by Balfoussia and Wickens, is that the general equilibrium model gives very poor forecasts of future yields. ...

... However, the persistence seems to have been declining according to Brown et al. (2016) and Korteweg and Sorensen (2017). Ang et al. (2018) state that the structure and nature of the data are limited, which makes it particularly difficult to evaluate its time series properties, and assessing PE returns, construct an index for separate classes, which shows that their cycles are not highly correlated. This suggests that a diversified strategy across sub-asset classes of PE may be beneficial. ...

... Investasi dilakukan dalam berbagai kelas aset yang beragam yang mencakup murabahah dan pembiayaan perdagangan; ekuitas pasar lokal dan regional, internasional; sukuk dan investasi alternatif seperti real estat, ekuitas swasta, commodities and hedge fund (komoditas, dan dana lindung nilai) (Bashir, 2016). Banyak Universitas mengalihkan investasi dana abadi mereka dari pendapatan tetap ke ekuitas dan kemudian ke dana lindung nilai atau modal ventura untuk meningkatkan keuntungan mereka (Brown et al., 2014), sekitar sepertiga dari portofolio dana abadi universitas berupa ekuitas swasta dan dana lindung nilai (Ang et al., 2018). Jika dana abadi ditempatkan pada aset berisiko akan memberikan pengembalian yang baik pada saat pasar yang baik sekaligus meningkatkan risiko pasar secara signifikan (Gilbert & Hrdlicka, 2011) dengan demikian akan meningkatkan jumlah dana abadi (Cejnek et al., 2013). ...

... Empirical evidence suggests this information is useful for explaining and predicting the cross-section of stock returns (see e.g. Bali and Hovakimian, 2009;Cremers and Weinbaum, 2010;Xing et al., 2010;An et al., 2014;Muravyev et al., 2022). These studies typically rely on extracting implied volatility, as a proxy for uncertainty for future price movements of the underlying asset, from index options as a gauge for investor fears. ...

... Municipalities require a ladder of bonds in different periods as interest rates drop such that cash strapped municipalities may raise more capital through bond issuances. Financially constrained municipalities may face pressure to advance refund since this allows them to reduce short-term cash outflows accordingly, see Ang et al. (2017). Cost to retire debt are thus higher, probably adding to the net indebtedness, and making this even harder without higher income revenue, to support existing services as appears in Giordano et al. (2012). ...

... Los estudios referentes a mercados desarrollados pueden asimismo ordenarse en tres subgrupos según el periodo al cual se refieren los datos: (i) 1953(i)-1972(i) (Bodie, 1976Nelson, 1976;JaffeyMandelker, 1976;Fama y Schwert, 1977) (ii) 1953-2000(Fama, 1981Kaul, 1987;Marshall, 1992;Balduzzi, 1995;Hagmann y Lenz, 2004) (iii) 19902012(Ang, Brière y Signori, 2012Ciner, 2015). Kaul (1987Kaul ( ) 1926Kaul (-1940Kaul ( 1952Kaul (-1983 Mensual, trimestral y anual. ...

... Other predictors (e.g., money supply and inflation) should also be taken into account, and we would advise studying which predictor or combination possesses the most powerful predictive effect. Third, according to Ang et al. [49] and Evgenidis et al. [50], researchers should also consider the yield curve in order to predict GDP. ...

... Consistent with this intuition, Ang, Bekaert and Wei (2007), Gil-Alana, Moreno and Pérez de Gracia (2012), Faust and Wright (2013), and Bauer and McCarthy (2015) all conclude that surveys generally outperform other measures in terms of forecasting. ...