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| Author | : Dong Hong |
| Publisher | : |
| Total Pages | : 202 |
| Release | : 2003 |
| Genre | : |
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| Author | : Amit Goyal |
| Publisher | : |
| Total Pages | : 374 |
| Release | : 2001 |
| Genre | : Stocks |
| ISBN | : |
| Author | : Ji Youn An |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
This dissertation explores the importance of firm valuation ratios (or stock price multiples) in predicting returns in international markets. This characteristic has been documented by literature as the value premium. In Chapter 2, "Warranted Multiples and Future Returns" joint with Sanjeev Bhojraj and David Ng, we look into the U.S. stock market and examine whether adjusted stock multiples can lead to higher predictability in stock returns. We adjust stock multiples by common economic factors and find that the adjusted price multiples can explain future returns better than unadjusted price multiples. In Chapter 3, "Country, Industry and Idiosyncratic Components in Valuation Ratios" joint with Sanjeev Bhojraj and David Ng, we examine the importance of country, industry and firm-idiosyncratic components in firm valuation ratios with a sample from 33 countries. We find that firm valuation ratios are largely affected by country membership. However, we confirm that firmidiosyncratic component in a firm valuation ratio leads the returns predictability, i.e. higher level of value premium. In Chapter 4, "Can the Long-Run Risks Explain the International Value Premium? Evidence Using Last Century Data", I examine where the value premium is coming from. I explore in depth whether the long-run risks model, a recently introduced asset pricing model, can explain the value premium in 17 developed countries.
| Author | : Xiaojing Su |
| Publisher | : |
| Total Pages | : |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
This dissertation is comprised of three essays. Chapter II investigates the dynamic relationship between stock returns and volume. I develop a new framework in which investors maximize their expected utility by optimally placing limit orders in the market. Because these limit orders differ in prices and quantities, transactions may occur at different prices during each trading period, and the instantaneous demand may not equal the instantaneous supply. Multiple trading periods may be necessary for stocks to reach equilibrium. A Mini-Exchange platform has been developed to simulate the trading process of the model. One outcome from the simulation suggests that, during periods of price adjustment, relatively low trading volume predicts a large absolute value change in future price. Empirical estimation by Zou (2007) shows that relatively low past trading volume indicates a relatively large price movement in the future. Her finding is consistent with the prediction of the model. In Chapter III, I measure the out-of-sample stock return predictability based on past price information. In particular, I use several nonlinear models to address the possible nonlinearity-in-mean predictability; I also adopt economic criteria, in addition to commonly used statistical criteria, to evaluate the forecasting performance. For thirteen major international stock markets, growth stocks appear to be more predictable than the general stock markets and value stocks, especially when evaluated with economic criteria. This novel finding is robust to a number of robustness checks. Overall, my results suggest that stock prices do not follow a random walk. Chapter IV in this dissertation turns to the effect of an aging problem in China on the real exchange rate of China. China is undergoing significant demographic changes as its population is aging and will become the biggest country that ages before getting rich. In this chapter, I extend the small open economy model with demographics and life-cycle dynamics (Faruqee 2002) by including a non-tradable sector. The simulation results show that a real appreciation exists in the Chinese exchange rate in the future. Another important finding is that the GDP per capita and consumption per capita will be lower than the case without the aging problem.
| Author | : Lei Jiang |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2011 |
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| Author | : Mengmeng Dong (Professor of finance) |
| Publisher | : |
| Total Pages | : 140 |
| Release | : 2018 |
| Genre | : International finance |
| ISBN | : |
My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. My dissertation consists of three sole-authored essays that study global stock returns. The first one “Global Anomalies” estimates the aggregated return predictability of 117 U.S. anomalies across 40 countries. These anomaly variables generate substantial return predictability when they are aggregated within the same category as defined in Hou, Xue, and Zhang (2015) using composite measures. Combining all six categories of anomaly variables into one single composite measure, a global hedge portfolio generates an average equal (value)-weighted monthly return of 2.15% (1.20%) with a t-statistic of 9.22 (4.66). These results highlight the importance of using composite measures to summarize the information contained in individual anomaly variables. In the third chapter “The Impact of Price Limits on Stock Volatility and Price Delay: Evidence from China”, I focus on the Chinese stock market and study how market interventions affect price behaviors. To overcome challenge in identification, I first match firms by characteristics and use difference-in-difference methodology to establish causality. Exploring a Special Treatment policy in China, I show that 5-basis-point tightening in daily price limits (from ±10% to ±5%) significantly reduces annualized volatility by 6.5 basis points (t =5.00) yet increases price delay by 63% from the previous year (t =7.40). Trading activity and liquidity significantly decrease under new limits but return increases by an equal-weighted average of 27% (t = 3.22) in 12 months. Evidence suggests that in the long-run price limits are effective in reducing volatility and improving firm value yet causing delayed price discovery and lower liquidity.
| Author | : Arthur Ritter |
| Publisher | : GRIN Verlag |
| Total Pages | : 21 |
| Release | : 2015-05-27 |
| Genre | : Business & Economics |
| ISBN | : 3656968926 |
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 | : Xin Wang |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
This thesis consists of three chapters that empirically investigate issues pertaining to asset pricing. In the first chapter, I find evidence of return predictability across intra-industry trading partners in international financial markets. Stock returns of importers significantly predict returns of corresponding exporters at the country-industry level. An investment strategy exploiting this effect generates average abnormal returns exceeding 6% annually. The magnitude of the effect is larger for smaller and less financially sophisticated countries, consistent with the return predictability being driven by frictions in the speed of information diffusion. However, this return cross-predictability cannot be explained by other country characteristics, including capital controls, exchange rate risk, and proxies for investor attention at the aggregate level. The second chapter analyzes the role of distance between foreign countries and the U.S. and foreign countries' talent in foreign mutual funds' performance in the U.S. I find that the correlation of distance and talent with returns is negative and positive, respectively. However, the effects are small and not statistically significant. For volatility, the effects are both economically and statistically significant: Distance is positively correlated with returns' standard deviation among mutual funds and with returns' standard deviation over time, while talent is negatively correlated with returns' standard deviation over time. The third chapter, co-authored with Jordi Mondria and Thomas Wu, decomposes attention allocation into two components, the familiar and the surprising, with opposite implications for US purchases of foreign stocks. On the one hand, familiarity-induced attention leads to an increase in US holdings of foreign equities. On the other hand, surprise-induced attention is associated with the net selling of foreign stocks because US investors tend to pay more attention to negative than to positive economic surprises from foreign countries. Our findings suggest that information asymmetries between locals and non-locals are more pronounced when it comes to good news, with information regarding bad news being relatively symmetric.
| Author | : Oleg Rytchkov |
| Publisher | : |
| Total Pages | : 162 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
(cont.) I focus on the general case in which differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations. I prove that the model does not admit a finite number of state variables. Using numerical analysis, I compare equilibria characterized by identical fundamentals but different information structures and show that the distribution of information has substantial impact on equilibrium prices and returns. In particular, asymmetric information might generate predictability in returns and high trading volume.
| Author | : William N. Goetzmann |
| Publisher | : Oxford University Press |
| Total Pages | : 568 |
| Release | : 2006-11-16 |
| Genre | : Business & Economics |
| ISBN | : 019803377X |
What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
