Download or read book Stock Return Predictability and Market Integration written by David G. McMillan and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the predictability of a range of international stock markets where we allow the presence of both local and global predictive factors. Recent research has argued that US returns have predictive power for international stock returns. We expand this line of research, following work on market integration, to include a more general definition of the global factor, based on principal components analysis. Results identify three global expected returns factors, one related to the major stock markets of the US, UK and Asia and one related to the other markets analysed. The third component is related to dividend growth. A single dominant realised returns factor is also noted. A forecasting exercise comparing the principal components based factors to a US return factor and local market only factors, as well as the historical mean benchmark find supportive evidence for the former approach. It is hoped that the results from this paper will be informative on three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market participants who aim to time the market and engage in portfolio and risk management. Third, to those (policy makers and others) who are interested in linkages across international markets and the nature and degree of integration.
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 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 Predictable Stock Returns in the United States and Japan written by John Y. Campbell and published by . This book was released on 1989 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Return Predictability written by Anselm Rogowski and published by . This book was released on 2015-06-03 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper 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 A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies written by Michael Rockinger and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Stock Return Predictability and Market Efficiency written by Lei Jiang and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Analysis of Stock Market Return Predictability written by Justus Heuer and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Emerging Markets written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-06-26 with total page 870 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although emerging market economies consist of 50% of the global population, they are relatively unknown. Filling this knowledge gap, Emerging Markets: Performance, Analysis and Innovation compiles the latest research by noteworthy academics and money managers from around the world. With a focus on both traditional emerging markets and new areas, su
Download or read book Predicting Stock Returns written by David G McMillan and published by Springer. This book was released on 2017-11-30 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Download or read book Stock Market Integration Return Forecastability and Implications for Market Efficiency written by Ronald J. Balvers and published by . This book was released on 2007 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a panel data set for 18 stock countries, this paper finds fairly strong integration among national equity markets. A country's stock index price can be decomposed into a common trend component and a stationary country-specific component. Results show that the 18 country indexes reverse to the world trend with a speed of 18% per year, and that the Hong Kong market converges to other markets with a speed of 22% per year or a half life of around three years. The two components can be separately estimated using maximum likelihood. The country-specific component displays substantial variability and is found to have both mean reversion over the long horizon and momentum over the short horizon. A simple parametric trading strategy exploiting simultaneously mean reversion and momentum effects produces an excess return of 16.7% per year, which exceeds those of strategies based on momentum or mean reversion separately. The excess return is statistically significant, and cannot be explained by systematic risk factors or by transaction costs. The results seem to support the behavioralist overreaction view vis-agrave;-vis an efficient markets view.
Download or read book The Adaptive Market Hypothesis and Stock Return Predictability written by Andrew Urquhart and published by . This book was released on 2015 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also whiten the returns through an AR-GARCH process to study the nonlinear predictability after accounting for conditional heteroscedasticity through the BDS test. We evaluate the time-varying return predictability by applying these tests to fixed length moving subsample windows. We also examine whether there is a relationship between the level of predictability in stock returns and market conditions. The results show that there are periods of significant return predictability, but also episodes of no significant predictability in stock returns. We also find that certain market conditions are significantly related to predictability in certain markets but each market interacts differently with the different market conditions. Therefore our findings suggest that significant return predictability in stock markets does vary over time in a manner consistent with the adaptive market hypothesis and that each market adapts differently to certain market conditions.
Download or read book Volatility and Predictability in National Stock Markets written by Anthony J. Richards and published by International Monetary Fund. This book was released on 1996-04 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper also tests for the predictability of long-horizon returns in emerging markets. While there is evidence for positive autocorrelation in returns at horizons of one or two quarters, the autocorrelations appear to turn negative at horizons of a year or more. However, the magnitude of the apparent return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries. In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.
Download or read book Stock Return Predictability with Financial Ratios written by Wasim Ud Din and published by . This book was released on 2017 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this paper is to investigate the stock return's predictability by using financial ratios and control variable of PSX 100 Index companies during period from 2001-2014. The current study mainly focuses on investigating better predictor of stock returns. The methodology is based on Ordinary Least Square (OLS) to estimate the multiple linear regression model. The correlation matrix shows that there is no multicollinearity found between variables. The result of F-Limer test shows that the panel data is appropriate while Hausman test shows that random effect model is appropriate to estimate the model. The results reveal that all variables are statistically significant but some variables have negative impact on stock returns such as asset turnover ratio, EPS, inflation, interest rate and GDP. However, debt ratio, return on sales, firm size, market return and Tobin's-Q have positive and significant impact on stock returns. In conclusion, potential investors not only focus on huge returns for investing in smaller market cap firms but also investing in large market cap firms of PSX 100 Index companies due to reason that large firms benefit from economies of scale. Furthermore, the stock returns are predictable through financial ratios and control variables in PSX 100 Index Companies and investors also set the investment criterion to see the firm size and Tobin's-Q when investing in large or small market cap companies to earn excess returns.
Download or read book Stock Return Predictability of Multiples in Crisis Periods written by Sebastian Binder and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to existing literature by providing a comprehensive analysis of value investing strategies in crisis periods. Therefore, a U.S. stock investment universe is tested in the period 7/1990 - 12/2014. Six different multiples (3 enterprise-value based and 3 equity-value based) are tested for value premiums. Results indicate that all six return positive and statistically significant value premiums ranging between 0.75% and 1.92%. EV-based multiples appear to provide a better performance than M-based ratios. In addition, more aggregate value drivers like Sales or EBITDA perform better than net income or EBIT. It is shown that value premiums are mainly driven by strong return contribution of growth stocks during crisis periods. However, on average value premiums are positive during crisis and non-crisis periods. Size sort, imply that especially small growth stocks and partly value stocks are prone to financial constraints during financial crisis. In market crisis, growth stocks in general underperform strongly. Value premiums are robust to seasonal effects. In addition, value investing strategies are able to generate positive alpha returns in multivariate risk factors models like CAPM, three-factor, four-factor and five-factor model. However, transaction costs and artificial market frictions through legal regulations can impose high hurdles to value investors.
Download or read book Understanding Stock Return Predictability written by Hui Guo and published by . This book was released on 2007 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Return Predictability written by Alex D. Patelis and published by . This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
