{"id":"W2165842502","doi":"10.3905/jpm.2011.37.4.086","title":"Average Stock Variance and Market Returns: <i>Evidence of Time-Varying Predictability at the</i><i>Daily Frequency</i>","year":2011,"lang":"en","type":"article","venue":"The Journal of Portfolio Management","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of British Columbia","funders":"","keywords":"Predictability; Market timing; Econometrics; Economics; Stock market; Stock (firearms); Business cycle; Variance (accounting); Financial market; Heteroscedasticity; Financial economics; Finance; Statistics; Mathematics","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["insufficient_payload"],"consensus_categories":[],"category_scores_codex":[0.003471889,0.0001631136,0.000377681,0.000103564,0.0001563475,0.00003281368,0.0005168519,0.00004515355,0.001568727],"category_scores_gemma":[0.00009236937,0.0001093026,0.0001163492,0.0001950928,0.0002439851,0.0004805107,0.000228296,0.0001778071,0.00001857981],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007975944,"about_ca_system_score_gemma":0.00002070472,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001636012,"about_ca_topic_score_gemma":0.0000104301,"domain_scores_codex":[0.9983725,0.00008074177,0.001009307,0.0001842577,0.0001226883,0.0002305173],"domain_scores_gemma":[0.9979606,0.0001198537,0.001324315,0.000476409,0.00005969355,0.00005907521],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.004007919,0.001071382,0.3674173,0.001903295,0.00232138,0.0002730592,0.01119837,0.0003405614,0.0008672326,0.4334958,0.1708473,0.006256323],"study_design_scores_gemma":[0.001358378,0.001024947,0.780057,0.0006696142,0.0002483113,0.0001282664,0.0004140032,0.0006428425,0.0004041317,0.2011232,0.01340904,0.0005202735],"study_design_candidate":"observational","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.5421911,0.02008901,0.001848752,0.0008685987,0.0006403238,0.000748634,0.00004502678,0.00001706035,0.4335514],"genre_scores_gemma":[0.9842222,0.01087138,0.0007977177,0.0003785623,0.00006965856,0.000006963229,5.064998e-7,0.00001472086,0.003638278],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.4420311,"threshold_uncertainty_score":0.999344,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03380231662325912,"score_gpt":0.2114041973213355,"score_spread":0.1776018806980764,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}