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Author : Dong Hong
Publisher :
ISBN 13 :
Total Pages : 202 pages
Book Rating : 4.:/5 (556 download)
Download or read book Essays in Predictability of Stock Returns in International Markets written by Dong Hong and published by . This book was released on 2003 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Amit Goyal
Publisher :
ISBN 13 :
Total Pages : 374 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on the Predictability of Stock Returns written by Amit Goyal and published by . This book was released on 2001 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ji Youn An
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (671 download)
Download or read book Three Essays on International Equity Returns and Valuation Ratios written by Ji Youn An and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Lei Jiang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
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:
Author : Xiaojing Su
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (69 download)
Download or read book Essays on Financial and International Economics written by Xiaojing Su and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Mengmeng Dong (Professor of finance)
Publisher :
ISBN 13 :
Total Pages : 140 pages
Book Rating : 4.:/5 (113 download)
Download or read book Three Essays on Global Stock Markets written by Mengmeng Dong (Professor of finance) and published by . This book was released on 2018 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
ISBN 13 : 3656968926
Total Pages : 21 pages
Book Rating : 4.6/5 (569 download)
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.
Author : Xin Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Essays on Asset Pricing written by Xin Wang and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (232 download)
Download or read book Essays on Predictability of Stock Returns written by Oleg Rytchkov and published by . This book was released on 2007 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: (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 : Ruojun Wu
Publisher :
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.:/5 (276 download)
Download or read book Essays on the Predictability and Volatility of Returns in the Stock Market written by Ruojun Wu and published by . This book was released on 2008 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the effect of parameter uncertainty on the return predictability and volatility of the stock market. The first two chapters focus on the decomposition of market volatility, and the third chapter studies the return predictability. When facing imperfect information, the investors tend to form a learning scheme that encompasses both historical data and prior beliefs. In the variance decomposition framework, the introducing of learning directly impacts the way that return forecasts are revised and consequently the relative component of market volatility based on these forecasts, namely the price movements from revision on future discount rates and those from future cash flows. According to the empirical study in Chapter 1, the former is not necessarily the major driving force of market volatility, which provides an alternative view on what moves stock prices. Learning is modeled and estimated by Bayesian method. Chapter 2 follows the topic in Chapter 1 and studies the role of persistent state variables in return decomposition in order to provide more robust inference on variance decomposition. In Chapter 3 we propose to utilize theoretical constraints to help predict market returns when in sample data is very noisy and creates model uncertainty for the investors. The constraints are also incorporated by Bayesian method. We show in the out-of-sample forecast experiment that models with theoretical constraints produce better forecasts.
Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 019803377X
Total Pages : 568 pages
Book Rating : 4.1/5 (98 download)
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Mihai B. Ion
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on the cross-sectional predictability of stock returns written by Mihai B. Ion and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yuzhao Zhang
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on Return Predictability and Volatility Estimation written by Yuzhao Zhang and published by . This book was released on 2008 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qing Bai
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (94 download)
Download or read book Essays on Stock Return Predictability written by Qing Bai and published by . This book was released on 2014 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation consists of two essays. Essay I examines the return predictability by firm level R & D and innovation measures and shows that technology spillover helps to explain the positive innovation-return relation. Essay II propose a novel measure of conditional value premium based on firm's stock split announcement. This measure is shown to have a strong predicting power over value premium both in sample and out of sample. Essay I: I show that technology spillovers are important information phenomena that benefit both other innovators (as emphasized in the Industrial Organization literature) and stock market investors. I find that the premium associated with R & D and patenting activities is largely restricted to firms located in more isolated technology spaces with fewer spillovers. Moreover, there is a strong lead-lag effect among firms engaging in innovative activities: the stock prices of firms in more isolated technology spaces react more slowly to new information than do the stock prices of firms in more competitive technology spaces. Finally, announcement-day returns to patent grants are greater for more technologically important patents (measured by forward citations), but only for firms in more crowded technology spaces. My results indicate that investors are able to value innovative investments by exploiting the information flows associated with greater technology spillovers. Essay II: I propose a novel conditional value premium measure based on the present-value relation that the stock price impact of a firm's public announcement reveals the firm's expected discount rates. Specifically, because most splitting stocks are growth stocks on which, by construction, the value premium has strong influence, the average splitting stock announcement-day returns track closely conditional value premium. I find very similar results using announcements of divested asset acquisitions in which acquirers are usually growth firms. Consistent with risk-based explanations, my conditional value premium measure correlates positively with future GDP growth and helps explain the cross-section of stock returns.
Author : DongJoon Jeong
Publisher :
ISBN 13 :
Total Pages : 346 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on International Stock and Bond Markets written by DongJoon Jeong and published by . This book was released on 1993 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stefan A. Jacewitz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (686 download)
Download or read book Essays on the Predictability and Volatility of Asset Returns written by Stefan A. Jacewitz and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation collects two papers regarding the econometric and economic theory and testing of the predictability of asset returns. It is widely accepted that stock returns are not only predictable but highly so. This belief is due to an abundance of existing empirical literature finding often overwhelming evidence in favor of predictability. The common regressors used to test predictability (e.g., the dividend-price ratio for stock returns) are very persistent and their innovations are highly correlated with returns. Persistence when combined with a correlation between innovations in the regressor and asset returns can cause substantial over-rejection of a true null hypothesis. This result is both well documented and well known. On the other hand, stochastic volatility is both broadly accepted as a part of return time series and largely ignored by the existing econometric literature on the predictability of returns. The severe effect that stochastic volatility can have on standard tests are demonstrated here. These deleterious effects render standard tests invalid. However, this problem can be easily corrected using a simple change of chronometer. When a return time series is read in the usual way, at regular intervals of time (e.g., daily observations), then the distribution of returns is highly non-normal and displays marked time heterogeneity. If the return time series is, instead, read according to a clock based on regular intervals of volatility, then returns will be independent and identically normally distributed. This powerful result is utilized in a unique way in each chapter of this dissertation. This time-deformation technique is combined with the Cauchy t-test and the newly introduced martingale estimation technique. This dissertation finds no evidence of predictability in stock returns. Moreover, using martingale estimation, the cause of the Forward Premium Anomaly may be more easily discerned.
Author : Shu Yan
Publisher :
ISBN 13 :
Total Pages : 310 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on Stock Market Volatility and Stock Return Predictability written by Shu Yan and published by . This book was released on 2000 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
