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Upon close reading, this appears to be 3 (interesting) questions, not one. I'm not sure if the mods have the tools needed to split it up, so I'm just going to write down the three questions as I see them and then deal with them one by one. Note, it is simpler for me to talk about variance instead of volatility. This has no material impact on the answer. ...


There are three categories of variables in Fred that have been shown to have some predictiveness for [longer run] stock returns: -Interest rate spreads (constructed from the following) FEDFUNDS Effective Federal Funds Rate TB3MS 3-Month Treasury Bil GS1 1-Year Treasury Rate GS5 5-Year Treasury Rate GS10 10-Year Treasury Rate -Credit ...

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