Yaojie Zhang

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Questions related from Yaojie Zhang

Why do we use a variable’s log difference, residual (innovation), sensitivity, time trend, or many others to forecast financial markets?

When we forecast financial markets (such as stock returns), we may use a variable without transformation (i.e., level). However, a growing body of research uses first difference, log difference,...

16 March 2022 8,113 2 View

In the test of stock return predictability, why is log return used for statistical evaluation and why is simple return for assessing economic value?

Log return is used for statistical evaluation such MSPE and out-of-sample R-square. Simple return is used for calculating economic value such as CER gain and Sharpe ratio. This is because Log...

19 December 2017 9,562 6 View

Which software is most suitable for the field of asset pricing (e.g., the cross-section of stock returns)?

Which software is most suitable for the research field of asset pricing (in particular, the cross-section of stock returns)? R, STATA, Python, SAS, Matlab, or others? and Why?

01 January 1970 893 3 View