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Author : Sung-Hwan Shin
Publisher :
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.:/5 (298 download)
Download or read book Essays on Asset Return Predictability written by Sung-Hwan Shin and published by . This book was released on 1993 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ruslan Sergeevich Tuneshev
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays on Asset Return Predictability Using Options Market Information written by Ruslan Sergeevich Tuneshev and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Funke
Publisher : Springer Science & Business Media
ISBN 13 : 3834998141
Total Pages : 123 pages
Book Rating : 4.8/5 (349 download)
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
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 : Runqing Wan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (122 download)
Download or read book Three Essays on Empirical Asset Pricing written by Runqing Wan and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This doctoral thesis investigates several topics in empirical asset pricing, with a focus on Treasury bond return predictability. In the first essay, “Real-Time Bayesian Learning and Bond Return Predictability”, co-authored with Andras Fulop and Junye Li, we study realtime statistical and economic evidence of bond return predictability. In the second essay, “Predictive Systems, Real Economy, and Bond Risk Premia”, I study bond risk premia in the framework of predictive systems. In the third essay, “Investor Sentiment and Bond Return Predictability”, I study the power of stock market investor sentiment in predicting Treasury bond returns.
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 : Shunlin Liang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Essays on Disaster Risk and Equity Return Predictability written by Shunlin Liang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on disaster risk and equity return predictability. The first essay proposes new measures of firm-level and market level disaster risk from deviation of put-call symmetry, which is free from being contaminated by the asymmetry between option traders and equity investors. Compared with other known measures of disaster risk, the market-level disaster risk measure robustly predicts aggregate market returns, with out-of-sample (R^2=6.86%) for the next twelve months. The cross-sectional analysis shows that firm-level disaster risk also explains variations in expected stock returns. Stocks with high firm-level disaster risk earn an annual four-factor subsequent alpha 8.0% higher than stocks with low firm-level disaster risk. I explore potential mechanisms giving rise to these asset pricing facts. The second essay finds that the investor’s learning of higher moments can account for the time-variation, size, and volatility of equity premium. I estimate the investor’s belief on skewness and kurtosis of consumption and dividend growth, and assume investor’s Bayesian learning about a skew student’s t-distribution with unknown fixed parameters. The predictive regressions show that more negative skewness and higher kurtosis predict higher subsequent market excess returns, which implies the investor’s learning generates the time variation of equity premium although the true distribution is static. The calibrated asset pricing model shows that the investor’s learning also explains the size and volatility of the equity premium observed in the data when the investor has a preference for early resolution of uncertainty.
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 : 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 : Vincent Jean Bogousslavsky
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (1 download)
Download or read book Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns written by Vincent Jean Bogousslavsky and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Mots-clés de l'auteur: Return Predictability ; Return Seasonality ; Asset Pricing Anomalies ; Intraday Returns ; Liquidity ; Infrequent Rebalancing.
Author : Bradley Steele Paye
Publisher :
ISBN 13 :
Total Pages : 380 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Stock Return Predictability and Portfolio Allocation written by Bradley Steele Paye and published by . This book was released on 2004 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Darien Huang
Publisher :
ISBN 13 :
Total Pages : 332 pages
Book Rating : 4.:/5 (95 download)
Download or read book Essays in Asset Pricing written by Darien Huang and published by . This book was released on 2015 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter "Gold, Platinum, and Expected Stock Returns", I show that the ratio of gold to platinum prices (GP) reveals variation in risk and proxies for an important economic state variable. GP predicts future stock returns in the time-series and explains variation in average stock returns in the cross-section. GP outperforms existing predictors and similar patterns are found in international markets. GP is persistent and significantly correlated with option-implied tail risk measures. An equilibrium model featuring recursive preferences, time-varying tail risk, and shocks to preferences for gold and platinum can account for the asset pricing dynamics of equity, gold, and platinum markets, and quantitatively explain the return predictability.
Author : Guanhao Feng
Publisher :
ISBN 13 : 9780355234206
Total Pages : 109 pages
Book Rating : 4.2/5 (342 download)
Download or read book Essays in Statistical Learning and Asset Pricing written by Guanhao Feng and published by . This book was released on 2017 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: I have written three essays in the interdisciplinary area of statistical learning and asset pricing. The first essay focuses on Bayesian regularization on stock return predictability and its sensitivity analysis. The second essay studies a dynamic discrete model for intra-game odds to reveal the market expectation for the game outcomes. The last essay evaluates risk factor importance through taming the factor zoo in a high-dimensional setting.
Author : David G McMillan
Publisher : Springer
ISBN 13 : 3319690086
Total Pages : 141 pages
Book Rating : 4.3/5 (196 download)
Download or read book Predicting Stock Returns written by David G McMillan and published by Springer. This book was released on 2017-11-30 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Author : Helen Lu
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.:/5 (858 download)
Download or read book Essays on Return Predictability written by Helen Lu and published by . This book was released on 2013 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mika Vaihekoski
Publisher :
ISBN 13 : 9789515555250
Total Pages : 129 pages
Book Rating : 4.5/5 (552 download)
Download or read book Essays on Conditional Asset Pricing Models and Predictability of Finnish Stock Returns written by Mika Vaihekoski and published by . This book was released on 1997 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt:
