Download or read book Predictable Components of Industry Stock Returns written by Lasheng Yuan and published by . This book was released on 1993 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book How Stable are Financial Prediction Models Evidence from Us and International Stock Market Data written by Bradley Paye and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines evidence of structural breaks in models of predictable components in stock returns related to state variables such as the lagged dividend yield, Treasury bill rate, term spread and default premium. We examine a large set of size-and-industry-sorted portfolios of US stocks as well as 18 international stock market portfolios and find systematic evidence of breaks in the vast majority of portfolios. The breakpoints most frequently identified in the US data are 1966, 1974, 1983, and 1990. The 1966 and 1974 breaks appear to have been driven by the T-bill rate and the default premium coefficients, while the 1983 break reflects changes in the coefficient on the T-bill rate and the term spread and the 1990 break was driven by the dividend yield and default premium coeffciencts. Our evidence also suggests that, while the size of the predictable component in stock returns has come down after the most recent break, many predictors continue to be significant. Although in-sample predictability of returns was lower in the 1990s than in some previous decades, it does not seem to have disappeared.
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 Stock Return Predictability written by David G. McMillan and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers whether the cyclical component of the log dividend-price and price-earnings ratios contain forecast power for stock returns. While the levels of these series contain slow moving information for predicting long horizon returns, for short-horizon returns it is the relative movement between prices and fundamental that matters for investors, and whether prices are accelerating away or converging with fundamentals. We use three approaches to extract the cyclical component of these ratios and conduct a range of in-sample and out-of-sample tests. In addition to the cyclical components, we include further predictive variables that account for economic growth and the relation between stocks and bonds. In-sample estimation using the ratio levels reveals results that do not accord with economic intuition. In contrast, using the cyclical component leads to economically sensible values, as well as improved in-sample fit. Out of-sample forecasting reveals that in comparison to a historical mean model, the performance of our predictive models is generally better, although that depends on metrics used to evaluate the forecasts. Moreover, the cyclical component models outperform the levels based models. Notably, the historical mean model is preferred using standard mean absolute and squared errors measures but the predictive models perform better using Mincer-Zarnowitz and related encompassing regressions. Notably, when using economic based forecast evaluation, the predictive models are clearly preferred, with a stronger ability to predict the future direction of return movements and in obtaining higher trading returns. A further examination of the results reveals that this greater performance largely arises from a superior ability to predict future negative returns.
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 Are Industry Returns Predictable written by Kenneth Robert Beller and published by . This book was released on 1996 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Chinese Stock Markets A Research Handbook written by Dongwei Su and published by World Scientific. This book was released on 2003-01-07 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: The exponential growth of China's stock markets in the past decade has attracted global attention from academics and practitioners. The practitioner's interest in Chinese markets stems from corporations; investors and financial institutions foresee substantial benefits from investing in China in the long run. However, the academic literature on the development of securities markets and reform of state enterprises in China is still in its infancy and fragmented. This handbook aims to bridge that gap by presenting a wide spectrum of research in the forefront of financial applications. It integrates theory and practice with state-of-the-art statistical techniques and provides numerous insights into the main challenges confronting Chinese markets in the new millennium.
Download or read book Predictability of UK Stock Returns an Analysis by Industry Group written by Catalina Velasco-Anton and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Relation between Predictable Market Returns and Predictable Analyst Forecast Errors written by John S. Hughes and published by . This book was released on 2007 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relation between predictable market returns and predictable analyst forecast errors. Perfect correlation between predictable components of forecast errors and abnormal returns would lend credence to the view that pricing anomalies are not merely an artifact of inadequately controlled risk. Our evidence implies an imperfect correlation. Moreover, we find that while the predictable component of abnormal returns is significantly associated with future forecast errors, trading strategies based directly on the predictable component of forecast errors are not profitable. Further implications of our findings are that predictable components of analysts' forecast errors are robust with respect to loss functions and analysts' earnings forecasts may significantly diverge from the market expectations.
Download or read book Predictability of Stock Market Returns by Industry written by Idoya Azaola and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock return Predictability and Model Uncertainty written by Doron Avramov and published by . This book was released on 2000 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 The Predictabilty of German Stock Returns written by Judith Klähn and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judith Klähn proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. She shows that the composition of Germany's investor base plays an important role, and she outlines the variables crucial for the German stock market.
Download or read book A Non random Walk Down Wall Street written by Andrew Wen-Chuan Lo and published by . This book was released on 1999-01 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Download or read book Stock Return Predictability Macro Economic Regressed Sum of the Parts Method written by Prince Ratchatasumrit and published by . This book was released on 2017 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research compares and improves stock market return forecasting via the Sum-of-theParts (SOP) method introduced by Ferreira and Santa-Clara (2011) to 3 representative countries from developed, emerging, and frontier market. Our process includes forecasting separately two main decomposed components of the SOP method with macro-economic variables. The two components from SOP method being regressed are growth in price-to-earnings and growth in earnings, while macro-economic variables being used are growth in foreign portfolio investment, log growth in consumer price index, and log growth in industrial production index. The forecasted components are then being sum with dividend-price ratio to forecast one step ahead stock market return. The findings show that macro-economic regressed variables outperform both the historical sample mean approach and original SOP method, with results from out-of-sample R-squared of 7.29% for USA and 5.96% for Vietnam. The results of SOP method, without macro-economic regressed components, do not consistently carry itself up to 2017 data due to correlation issues of forecasted components. The forecasted growth in price-to-earnings multiple in relation to foreign portfolio investment suggested to us that investors in neither of the representative countries suspect foreign investment holdings to have any impact on growth in price-to-earnings multiples. While, investors in United States, unlike Thailand and Vietnam, may have optimistic expectation that growth in inflation, proxied by CPI, indicates growth in price variable in price-to-earnings multiples, encouraging them to purchase equities to prevent loss from devaluation. The forecasted growth in earnings in relation to GDP, proxied by IPI, on the other hand, suggest among investors from United States to bring about the growth in earnings of corporate entities, unlike those from Thailand and Vietnam.
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 Are Stock Returns Predictable from Industrial Production written by and published by . This book was released on 1998 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
