International Sign Predictability of Stock Returns
Author | : Henri Nyberg |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
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Author | : Henri Nyberg |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Author | : Dong Hong |
Publisher | : |
Total Pages | : 202 |
Release | : 2003 |
Genre | : |
ISBN | : |
Author | : Erik Hjalmarsson |
Publisher | : |
Total Pages | : 60 |
Release | : 2008 |
Genre | : Econometrics |
ISBN | : |
I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread. The data contain over 20,000 monthly observations from 40 international markets, including 24 developed and 16 emerging economies. In addition, I develop new methods for predictive regressions with panel data. Inference based on the standard fixed effects estimator is shown to suffer from severe size distortions in the typical stock return regression, and an alternative robust estimator is proposed. The empirical results indicate that the short interest rate and the term spread are fairly robust predictors of stock returns in developed markets. In contrast, no strong or consistent evidence of predictability is found when considering the earnings- and dividend-price ratios as predictors.
Author | : Pierre Giot |
Publisher | : |
Total Pages | : 65 |
Release | : 2016 |
Genre | : |
ISBN | : |
The predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics. Predictive variables include both valuation ratios and interest rate variables. Out-of-sample predictive power is found to be greatest for the short-term and long-term interest rate variables. Given the importance of trading profitability in assessing market efficiency, we show that such statistical predictive power is economically meaningless across countries and investment horizons. All in all, no common pattern of stock return predictability emerges across countries, be it on statistical or economic grounds.
Author | : Wolfgang Drobetz |
Publisher | : Springer Science & Business Media |
Total Pages | : 346 |
Release | : 2013-06-29 |
Genre | : Business & Economics |
ISBN | : 3663085295 |
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Author | : Andreas Schrimpf |
Publisher | : |
Total Pages | : 46 |
Release | : 2010 |
Genre | : |
ISBN | : |
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predictive variables, whereas valuation ratios perform rather poorly. Yet, predictability of market excess returns weakens substantially, once model uncertainty is accounted for. We document notable differences in the degree of in-sample and out-of-sample predictability across different stock markets. Overall, these findings suggest that return predictability is neither a uniform, nor a universal feature across international capital markets.
Author | : Erik Hjalmarsson |
Publisher | : |
Total Pages | : 65 |
Release | : 2004 |
Genre | : |
ISBN | : |
Author | : David G. McMillan |
Publisher | : |
Total Pages | : 30 |
Release | : 2015 |
Genre | : |
ISBN | : |
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.
Author | : Amélie Charles |
Publisher | : |
Total Pages | : 33 |
Release | : 2015 |
Genre | : |
ISBN | : |
We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure, change in volume), and short-term interest rates. We adopt two new alternative testing and estimation methods: the improved augmented regression method and wild bootstrapping of predictive model based on a restricted VAR form. Both methods take explicit account of endogeneity of predictors, providing bias-reduced estimation and improved statistical inference in small samples. From monthly data of 16 Asia-Pacific (including U.S.) and 21 European stock markets from 2000 to 2014, we find that the financial ratios show weak predictive ability with small effect sizes and poor out-of-sample forecasting performances. In contrast, the price pressure and interest rate are found to be strong predictors for stock return with large effect sizes and satisfactory out-of-sample forecasting performance.
Author | : Gabriel A. Hawawini |
Publisher | : |
Total Pages | : 50 |
Release | : 1992 |
Genre | : Stocks |
ISBN | : |