Download or read book Using Accounting Data to Predict Firm level and Aggregate Stock Returns written by Wei Zhu and published by . This book was released on 2013 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Predicting Firm Level Stock Returns written by David G. McMillan and published by . This book was released on 2017 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the predictive ability of several stock price ratios, stock return dispersion and distribution for individual firm level stock returns. Analysis typically focusses on market level returns, however, for the asset pricing model that underlies predictability to hold, firm-level predictability should also be present. In addition, we examine the economic content of predictability by considering whether the predictive coefficient has the theoretically correct sign and whether it is related to future output growth. Movement in stock returns should reflect investor expectations regarding future economic conditions. While stock returns are often too noisy to act as predictors for future economic behaviour, factors that predict stock returns should equally have predictive power for output growth. In our analysis, we use the time-varying predictive coefficient to predict output growth, as the coefficient reflects the sensitivity of stock returns to the predictor variable and thus can be regarded as investors' confidence in the predictive relation. The results suggest that several stock price ratios have predictive power for individual firm stock returns, exhibit the correct coefficient sign and has predictive power for output growth. Each of these ratios has a measure of fundamentals dividend by the stock price and has a positive predictive relation with stock returns and output growth. This implies that as investors expect future economic conditions to improve and earnings and dividends to rise, so expected stock returns will increase. This supports the stock return predictive relation that arises through the cash flow channel.
Download or read book Stock Returns and Volatility written by Gregory R. Duffee and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been previously documented that individual firms' stock return volatility rises after stock prices fall. This paper finds that this statistical relation is largely due to a positive contemporaneous relation between firm stock returns and firm stock return volatility. This positive relation is strongest for both small firms and firms with little financial leverage. At the aggregate level, the sign of this contemporaneous relation is reversed. The reasons for the difference between the aggregate- and firm-level relations are explored.
Download or read book Statistics of Random Processes II written by R.S. Liptser and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Download or read book A Theory of Firm Characteristics and Stock Returns The Role of Investment Specific Shocks written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Knowledge Based Systems written by Rajendra Akerkar and published by Jones & Bartlett Publishers. This book was released on 2009-08-25 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: A knowledge-based system (KBS) is a system that uses artificial intelligence techniques in problem-solving processes to support human decision-making, learning, and action. Ideal for advanced-undergraduate and graduate students, as well as business professionals, this text is designed to help users develop an appreciation of KBS and their architecture and understand a broad variety of knowledge-based techniques for decision support and planning. It assumes basic computer science skills and a math background that includes set theory, relations, elementary probability, and introductory concepts of artificial intelligence. Each of the 12 chapters is designed to be modular, providing instructors with the flexibility to model the book to their own course needs. Exercises are incorporated throughout the text to highlight certain aspects of the material presented and to simulate thought and discussion. A comprehensive text and resource, Knowledge-Based Systems provides access to the most current information in KBS and new artificial intelligences, as well as neural networks, fuzzy logic, genetic algorithms, and soft systems.
Download or read book An Exploration of Two Accounting based Models for Earnings Misstatements and Their Implications for Stock Returns written by Suzie Noh and published by . This book was released on 2014 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using two popular accounting-based models for earnings manipulation (i.e., the Beneish M-Score and the Dechow F-Score) and the financial data of public companies from 2004 to 2012, 1 find that the M-Score (F-Score) predicts less (more) earnings overstatements during the recent financial crisis in 2007-2008 than other sample years. However, a detailed investigation at the industry level reveals that this does not hold in all industries. I further show that the potential misstating firms flagged by the M-Score tend to under-perform the market both at the aggregate and the industry level, and some of those flagged by the F-Score under-perform at the industry level. Finally, by running Fama-French three-factor regressions at the aggregate level, I provide evidence that the firms flagged by the MScore generally yield negative risk-adjusted stock returns. The evidence suggests public availability of financial statements alone does not ensure that all the elements of financial statements are fully integrated into prices in a timely manner. Overall, this study provides substantial support for the use of quantitative accounting analysis in equity trading.
Download or read book Skewness in Stock Returns written by Rui A. Albuquerque and published by . This book was released on 2014 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aggregate stock market returns display negative skewness. Firm stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This article provides a unified theory that reconciles the two facts by explicitly modeling firm-level heterogeneity. I build a stationary asset pricing model of firm announcement events where firm returns display positive skewness. I then show that cross-sectional heterogeneity in firm announcement events can lead to conditional asymmetric stock return correlations and negative skewness in aggregate returns. I provide evidence consistent with the model predictions.
Download or read book Effect of Firm level Attributes Using Market share Estimation Based on Aggregate Data written by 彭書亞 and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Taking the Pulse of the Real Economy Using Financial Statement Analysis written by Yaniv Konchitchki and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we hypothesize and find that financial statement analysis of firm profitability drivers applied at the aggregate level yields timely insights that are relevant for forecasting real economic activity. We first show that focusing on the one-hundred largest firms offers a cost-effective way to extract information embedded in accounting profitability data of the entire stock market portfolio. We then show that accounting profitability data aggregated across the one-hundred largest firms have predictive content for subsequent real Gross Domestic Product (GDP) growth. We also show that stock market returns have predictive content for future real GDP growth, while their predictive power varies with the length of the measurement window with annual stock market returns being the most powerful. Importantly, we find that the predictive content of our indices of aggregate accounting profitability drivers is incremental to that of annual stock market returns. An in-depth investigation of consensus survey forecasts shows that professional macro forecasters revise their expectations of real economic activity in the direction of the predictive content of aggregate accounting profitability drivers and stock market returns. Although macro forecasters are fully attuned to stock market return data, their forecasts of real GDP growth can be improved in a statistically and economically significant way using our indices of aggregate accounting profitability drivers. Our findings suggest that professional macro forecasters and stock market investors do not fully impound the predictive content of aggregate accounting profitability drivers when forecasting real economic activity. In additional analysis, we examine the association between stock market returns and the portion of subsequent real GDP growth that is predictable based on our indices of aggregate accounting profitability drivers but that is not anticipated by stock market investors. We find that this portion is positively related to stock market returns, suggesting that the macro predictive content of aggregate accounting profitability drivers is relevant for stock valuation. Overall, our study brings financial statement analysis to the forefront as an incrementally useful tool for gauging the prospects of the real economy that should be of interest to academics and practitioners.
Download or read book Cointegration and Long Horizon Forecasting written by Mr.Peter F. Christoffersen and published by International Monetary Fund. This book was released on 1997-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.
Download or read book Accounting Earnings Can Explain Most of Security Returns written by Peter Douglas Easton and published by . This book was released on 1990 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Note on Predicting Returns with Financial Ratios written by Ivo Welch and published by . This book was released on 2004 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note reinterprets methods that seek to use the aggregate dividend price ratio to predict aggregate stock market returns; specifically, methods which use information about time-varying changes in the dividend-price ratio process to improve the prediction equation. It argues that the empirical evidence is still too weak to suggest practical usefulness of these estimators.
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Download or read book Identifying Significant Variables that Drive the Stock Investment Market and Predict Future Stock Investment Returns Using the Data Science Approach written by Archana Raghu and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: For a company to become prosperous it must invest wisely such that it provides consistent greater returns over time. The stock investment returns prediction has been one of the major challenges in finance. Often the losses in stock investment that the companies face are due to bad decisions made in stock investments. Many investment decisions stemmed from a lack of proper understanding of the relationship between various variables that are necessary for predicting future stock returns. To make better decisions in stock investment, previous researchers have carried out extensive studies to model the stock market. Previous researchers conducted theoretical and empirical studies, and have used various data science techniques for analysis to understand the effect of variables. However, these research studies did not account for data cleaning and pre-processing procedures that lead to biased results. The major contribution of this study is to fill the gap that remains in understanding relationships between the various variables and to identify the most influential variables that best predict stock returns. The findings from this research will assist financial interpreters, individual investors, and academicians in making better decisions in investments and understanding stock market. This study examines the Stock-Investment Pro dataset from the year 2005-2011 and employs a factor analysis approach and grouped 45 variables into 13 factors. Further, a logistic regression model of 13 independent variables revealed EPS Estimation Revisions Up and Institutional Ownership as the most significant variables to predict stock returns.
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
