Understanding Stock Return Predictability PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Understanding Stock Return Predictability PDF full book. Access full book title Understanding Stock Return Predictability.
Author | : Arthur Ritter |
Publisher | : GRIN Verlag |
Total Pages | : 21 |
Release | : 2015-05-27 |
Genre | : Business & Economics |
ISBN | : 3656968926 |
Download Stock Return Predictability Book in PDF, ePub and Kindle
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.
Author | : Hui Guo |
Publisher | : |
Total Pages | : 57 |
Release | : 2007 |
Genre | : Rate of return |
ISBN | : |
Download Understanding Stock Return Predictability Book in PDF, ePub and Kindle
Author | : John H. Cochrane |
Publisher | : Princeton University Press |
Total Pages | : 560 |
Release | : 2009-04-11 |
Genre | : Business & Economics |
ISBN | : 1400829135 |
Download Asset Pricing Book in PDF, ePub and Kindle
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.
Author | : Robert A. Meyers |
Publisher | : Springer Science & Business Media |
Total Pages | : 919 |
Release | : 2010-11-03 |
Genre | : Business & Economics |
ISBN | : 1441977007 |
Download Complex Systems in Finance and Econometrics Book in PDF, ePub and Kindle
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.
Author | : Anselm Rogowski |
Publisher | : |
Total Pages | : 20 |
Release | : 2015-06-03 |
Genre | : |
ISBN | : 9783656968931 |
Download Stock Return Predictability Book in PDF, ePub and Kindle
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.
Author | : Graham Elliott |
Publisher | : Elsevier |
Total Pages | : 667 |
Release | : 2013-08-23 |
Genre | : Business & Economics |
ISBN | : 0444627405 |
Download Handbook of Economic Forecasting Book in PDF, ePub and Kindle
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
Author | : Justus Heuer |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Empirical Analysis of Stock Market Return Predictability Book in PDF, ePub and Kindle
Author | : Farhang Farazmand |
Publisher | : |
Total Pages | : 45 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Stock Return Predictability Book in PDF, ePub and Kindle
Investors' views, expressed in individual securities, when averaged are informative about the future path of aggregate market returns. Our predictor of the market, PC-OI, is an average of traders' positions in options on individual stocks, formed simply by summing the put open interest across all stocks and dividing by the summed call open interest. Predictability is strongest when the measure is constructed from a subset of stocks subject to arbitrage constraints. The measure has strong in-sample and out-of-sample predictive power, and creates substantial utility gains for a mean-variance investor. The predictive power is not subsumed by the host of existing predictors in the literature. A trading strategy using our measure would have made up to 208% over our sample period, compared to a cumulative market return of 90%.
Author | : Alex D. Patelis |
Publisher | : |
Total Pages | : 44 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Stock Return Predictability Book in PDF, ePub and Kindle
Author | : Sebastian Binder |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Stock Return Predictability of Multiples in Crisis Periods Book in PDF, ePub and Kindle
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.