Using Fundamental Earnings Factors to Forecast Equity Market Volatility

• Published in: Journal of trading Vol. 11; no. 2; pp. 5 - 10
• Main Authors: Mozes, Haim A., Steffens, John Launny
• Format: Journal Article
• Language: English
• Published: New York Pageant Media 01.04.2016
• Subjects: Bankruptcy; Earnings per share; Equity; Interest rates; Stock prices; Treasury bills; Valuation; Variables; Volatility

This article introduces a model for forecasting future volatility using fundamental factors, including the extent to which the market's valuation deviates from its predicted value, the losses reported by companies with negative earnings, projected earnings growth rates, and Treasury bill rates....