Download or read book Predictability of Stock Market Prices written by Clive William John Granger and published by . This book was released on 1970 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel (deceased) and published by . This book was released on 2010 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Download or read book The Predictability of Stock Returns written by Zhong-guo Zhou and published by . This book was released on 1993 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Predictability of Stock Returns an Asset allocation Perpective written by Shmuel Kandel and published by . This book was released on 1995 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Predictability of Stock Returns written by Amit Goyal and published by . This book was released on 2001 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Download or read book Predictability of Stock Returns written by M. Hashem Pesaran and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Predictability of Stock Returns written by Steve Van Uytbergen and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Predictability of Common Stock Returns written by Gabriel A. Hawawini and published by . This book was released on 1992 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Return Predictability written by Arthur Ritter and published by GRIN Verlag. This book was released on 2015-05-27 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (postgraduate) from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.
Download or read book Essays in Predictability of Stock Returns in International Markets written by Dong Hong and published by . This book was released on 2003 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Download or read book On the Predictability of Global Stock Returns written by Erik Hjalmarsson and published by . This book was released on 2004 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Price Related Anomalies and Predictability of Stock Returns written by Izz Eddien Ananzeh and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Huge empirical evidence suggests that a number of fundamentals help to explain the cross-sectional pattern of asset returns. In this dissertation we expand that evidence by investigating the cross-sectional pattern of stock returns for eight emerging markets, using two methodologies. Vector Auto regressive Approach (VAR) in conducting the inference about the ability of dividend yields to predict stock returns, and "between estimator" panel data regression in conducting the inference about the ability of price-earning ratio, book-to-market ratio, market capitalization, and beta to predict stock returns. Our results confirm some of the existing evidence for developed markets. Firstly, we report that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is positive. Secondly, we report that betas have a significant explanatory power in four markets and the sign is positive, which means that our result goes with same line of CAPM, but in the other hand, P/E, B/M, and MCAP all failed to capture any power to predict stock returns.
