{"id":"https://openalex.org/W2188156563","doi":"https://doi.org/10.2139/ssrn.3390982","title":"Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach","display_name":"Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W2188156563","doi":"https://doi.org/10.2139/ssrn.3390982","mag":"2188156563"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.3390982","doi":"https://doi.org/10.2139/ssrn.3390982","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3390982","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.3390982","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027995241","display_name":"Qingqing Chen","orcid":"https://orcid.org/0000-0002-3787-3134","observed_orcids":["https://orcid.org/0000-0002-3787-3134"]},"institutions":[{"id":"https://openalex.org/I1308613035","display_name":"Office of the Comptroller of the Currency","ror":"https://ror.org/0188dhg98","country_code":"US","type":"government","lineage":["https://openalex.org/I1300891529","https://openalex.org/I1308613035"]},{"id":"https://openalex.org/I2800421839","display_name":"Government of the United States of America","ror":"https://ror.org/02rcrvv70","country_code":"US","type":"government","lineage":["https://openalex.org/I2800421839"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Qingqing Chen","raw_affiliation_strings":["Government of the United States of America - Office of the Comptroller of the Currency (OCC), 400 7th Street SW, Washington, DC 20219, United States","Government of the United States of America - Office of the Comptroller of the Currency (OCC)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Government of the United States of America - Office of the Comptroller of the Currency (OCC), 400 7th Street SW, Washington, DC 20219, United States","institution_ids":["https://openalex.org/I1308613035","https://openalex.org/I2800421839"]},{"raw_affiliation_string":"Government of the United States of America - Office of the Comptroller of the Currency (OCC)","institution_ids":["https://openalex.org/I1308613035","https://openalex.org/I2800421839"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5103191800","display_name":"Yongmiao Hong","orcid":"https://orcid.org/0000-0002-9711-9061","observed_orcids":["https://orcid.org/0000-0002-9711-9061"]},"institutions":[{"id":"https://openalex.org/I205783295","display_name":"Cornell University","ror":"https://ror.org/05bnh6r87","country_code":"US","type":"education","lineage":["https://openalex.org/I205783295"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yongmiao Hong","raw_affiliation_strings":["Cornell University - Department of Economics, Department of Statistical Science, 414 Uris Hall, Ithaca, NY 14853-7601, United States","Cornell University - Department of Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Cornell University - Department of Economics, Department of Statistical Science, 414 Uris Hall, Ithaca, NY 14853-7601, United States","institution_ids":["https://openalex.org/I205783295"]},{"raw_affiliation_string":"Cornell University - Department of Economics","institution_ids":["https://openalex.org/I205783295"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5027995241"],"corresponding_institution_ids":["https://openalex.org/I1308613035","https://openalex.org/I2800421839"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0005000000237487257,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dividend-yield","display_name":"dividend yield","score":0.7829999923706055},{"id":"https://openalex.org/keywords/earnings-yield","display_name":"earnings yield","score":0.9980000257492065},{"id":"https://openalex.org/keywords/short-rate","display_name":"short rate","score":0.7279999852180481},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.9110000133514404},{"id":"https://openalex.org/keywords/linear-predictive-model","display_name":"linear predictive model","score":0.5759999752044678}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.8132414817810059},{"id":"https://openalex.org/C102366305","wikidata":"https://www.wikidata.org/wiki/Q1097688","display_name":"Nonparametric statistics","level":2,"score":0.7290445566177368},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6287356019020081},{"id":"https://openalex.org/C199728807","wikidata":"https://www.wikidata.org/wiki/Q2578557","display_name":"Equity (law)","level":2,"score":0.6168235540390015},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.505803108215332},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4268518388271332},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3494186997413635},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.34909510612487793},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.059890687465667725},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.2139/ssrn.3390982","doi":"https://doi.org/10.2139/ssrn.3390982","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3390982","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.187.3687","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.187.3687","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.wise.xmu.edu.cn/uncc-wise/files/ProgramPapers/CHEN_Qingqing.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.2139/ssrn.3390982","doi":"https://doi.org/10.2139/ssrn.3390982","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3390982","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":64,"referenced_works":["https://openalex.org/W1496978175","https://openalex.org/W1499104343","https://openalex.org/W1503022246","https://openalex.org/W1557775087","https://openalex.org/W1563640319","https://openalex.org/W1789808336","https://openalex.org/W1975122157","https://openalex.org/W1975994995","https://openalex.org/W1986337398","https://openalex.org/W1991293146","https://openalex.org/W1996879164","https://openalex.org/W2010426780","https://openalex.org/W2026416204","https://openalex.org/W2036941780","https://openalex.org/W2047775520","https://openalex.org/W2066364675","https://openalex.org/W2074931146","https://openalex.org/W2089556049","https://openalex.org/W2093571522","https://openalex.org/W2095676652","https://openalex.org/W2097951963","https://openalex.org/W2108731026","https://openalex.org/W2112797280","https://openalex.org/W2116287486","https://openalex.org/W2118775685","https://openalex.org/W2123518587","https://openalex.org/W2128475248","https://openalex.org/W2134835666","https://openalex.org/W2143409751","https://openalex.org/W2144570112","https://openalex.org/W2146287001","https://openalex.org/W2146762522","https://openalex.org/W2148964990","https://openalex.org/W2151625311","https://openalex.org/W2153507057","https://openalex.org/W2154860111","https://openalex.org/W2157969799","https://openalex.org/W2747620798","https://openalex.org/W2890243528","https://openalex.org/W2914489443","https://openalex.org/W3021558768","https://openalex.org/W3121201888","https://openalex.org/W3121241862","https://openalex.org/W3121328226","https://openalex.org/W3121968018","https://openalex.org/W3122020290","https://openalex.org/W3122070388","https://openalex.org/W3122475708","https://openalex.org/W3123831437","https://openalex.org/W3124335592","https://openalex.org/W3124466994","https://openalex.org/W3124478777","https://openalex.org/W3124485385","https://openalex.org/W3124684890","https://openalex.org/W3124744244","https://openalex.org/W3124916467","https://openalex.org/W3125017137","https://openalex.org/W3125395390","https://openalex.org/W3126003609","https://openalex.org/W3147070131","https://openalex.org/W4229511720","https://openalex.org/W4230644069","https://openalex.org/W4247747078","https://openalex.org/W4302391246"],"related_works":["https://openalex.org/W151382757","https://openalex.org/W7099968121","https://openalex.org/W3183880097","https://openalex.org/W4407224369","https://openalex.org/W4411995705","https://openalex.org/W1999245127","https://openalex.org/W4414276638","https://openalex.org/W6908459521","https://openalex.org/W2084017380","https://openalex.org/W2947241937"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":7},{"year":2013,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}