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Forecasting Stock Returns Using Bilinearities In Fundamentals And Macroeconomic Variables
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Book Synopsis Forecasting Stock Returns Using Bilinearities in Fundamentals and Macroeconomic Variables by : Ronald van Dijk
Download or read book Forecasting Stock Returns Using Bilinearities in Fundamentals and Macroeconomic Variables written by Ronald van Dijk and published by . This book was released on 1996 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Return Predictability by : Arthur Ritter
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.
Book Synopsis Forecasting Economic Fundamentals and Expected Stock Returns Using Equity Market Order Flows by : Aditya Kaul
Download or read book Forecasting Economic Fundamentals and Expected Stock Returns Using Equity Market Order Flows written by Aditya Kaul and published by . This book was released on 2013 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the information content of two different measures of aggregate equity-market order flow for future macroeconomic fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for industrial production and real GDP, but not for corporate earnings. The second measure, the difference between the average order flow for big stocks and the average order flow for small stocks, has strong forecast power for industrial production and real GDP, as well as corporate earnings, up to four quarters ahead. The significance of the two order flow-based measures is robust to controls for common equity pricing factors. This suggests a role for aggregate order flows in predicting stock returns. We show that a positive shock to the second factor, the order flow differential, forecasts higher returns for ten size sorted portfolios and greater market and size premiums in the subsequent quarter, even after accounting for a host of variables including the common return factors, experts' earnings growth forecasts, default and term spreads, new equity capital, and marketwide liquidity. These findings are consistent with a world where aggregate order flow brings together dispersed information from heterogeneously informed investors.
Book Synopsis Predicting Stock Returns by : David G McMillan
Download or read book Predicting Stock Returns written by David G McMillan and published by Palgrave Pivot. This book was released on 2018-09-04 with total page 136 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.
Book Synopsis Empirical essays on stock return predictability using macroeconomic variables and technical indicators by : Fabian Bätje
Download or read book Empirical essays on stock return predictability using macroeconomic variables and technical indicators written by Fabian Bätje and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity risk premium, forecasting, technical indicators, macroeconomic variables. - Marktrisikoprämien, Prognose, technische Analyse, makroökonomische Variablen
Book Synopsis Outperforming the Market Using Biliniarities in Fundamentals and Macroeconomic Variables by : Teun Kloek
Download or read book Outperforming the Market Using Biliniarities in Fundamentals and Macroeconomic Variables written by Teun Kloek and published by . This book was released on 1995 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Indicators, Macroeconomic Variables and Market Timing by : David Michael Modest
Download or read book Technical Indicators, Macroeconomic Variables and Market Timing written by David Michael Modest and published by . This book was released on 1982 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Variables and Common Stock Returns by : Mark Gertler
Download or read book Macroeconomic Variables and Common Stock Returns written by Mark Gertler and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Getting the Most Out of Macroeconomic Information for Predicting Stock Returns by : Cem Cakmakli
Download or read book Getting the Most Out of Macroeconomic Information for Predicting Stock Returns written by Cem Cakmakli and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents the fact that the factors extracted from a large set of macroeconomic variables contain information that can be useful for predicting monthly US excess stock returns over the period 1975 - 2014. Factor-augmented predictive regression models improve upon benchmark models that include only valuation ratios and interest rate related variables, and possibly individual macro variables, as well as the historical average excess return. The improvements in out-of-sample forecast accuracy are significant, both statistically and economically. The factor-augmented predictive regressions have superior market timing abilities, such that a mean-variance investor would be willing to pay an annual performance fee of several hundreds of basis points to switch from the predictions offered by the benchmark models to those of the factor-augmented models. One important reason for the superior performance of the factor-augmented predictive regressions is the stability of their forecast accuracy, whereas the benchmark models suffer from a forecast breakdown during the 1990s.
Book Synopsis STOCK MARKET PERFORMANCE & MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET by : Arnav V
Download or read book STOCK MARKET PERFORMANCE & MACRO ECONOMIC VARIABLES AN EMPIRICAL STUDY OF STOCK MARKET written by Arnav V and published by Arnav. This book was released on 2022-12-23 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Owing to the ever-increasing importance of the financial markets, particularly the stock markets, in the economic development, especially of capital seeking developing nations, a plethora of studies have been conducted to examine the factors determining and influencing the stock market variables such as stock returns, market capitalisation, and turnover, amongst others. The present study examines the impact and role of macroeconomic variables on the stock market performance of an important developing country, viz., India. This relationship is examined from the framework of three main research objectives of investigating the relationship between macroeconomic variables and Indian stock market performance; modelling the crash of Indian stock market during the global financial crisis of 2007 - 2009 using the domestic and international macroeconomic variables, and predicting the movements in stock market variables using macroeconomic variables.
Book Synopsis A Practical Guide to Forecasting Financial Market Volatility by : Ser-Huang Poon
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Book Synopsis Financial Markets Theory by : Emilio Barucci
Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS
Book Synopsis On the Central Limit Theorem for the Sum of a Random Number of Independent Random Variables by : J. R. Blum
Download or read book On the Central Limit Theorem for the Sum of a Random Number of Independent Random Variables written by J. R. Blum and published by . This book was released on 1963 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Tools for Computational Finance by : Rüdiger U. Seydel
Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2012-03-09 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.
Book Synopsis Pricing Derivative Securities (2nd Edition) by : Thomas Wake Epps
Download or read book Pricing Derivative Securities (2nd Edition) written by Thomas Wake Epps and published by World Scientific Publishing Company. This book was released on 2007-06-04 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Book Synopsis An Introduction to Mathematical Finance with Applications by : Arlie O. Petters
Download or read book An Introduction to Mathematical Finance with Applications written by Arlie O. Petters and published by Springer. This book was released on 2016-06-17 with total page 499 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based, and theoretical problems, which probe the material deeper. The book is aimed toward advanced undergraduates and first-year graduate students who are new to finance or want a more rigorous treatment of the mathematical models used within. While no background in finance is assumed, prerequisite math courses include multivariable calculus, probability, and linear algebra. The authors introduce additional mathematical tools as needed. The entire textbook is appropriate for a single year-long course on introductory mathematical finance. The self-contained design of the text allows for instructor flexibility in topics courses and those focusing on financial derivatives. Moreover, the text is useful for mathematicians, physicists, and engineers who want to learn finance via an approach that builds their financial intuition and is explicit about model building, as well as business school students who want a treatment of finance that is deeper but not overly theoretical.
Book Synopsis Advances in Dynamic Games by : Andrzej S. Nowak
Download or read book Advances in Dynamic Games written by Andrzej S. Nowak and published by Springer Science & Business Media. This book was released on 2007-12-24 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a guide to the vitality and growth of the field. A valuable reference for researchers and practitioners in dynamic game theory, it covers a broad range of topics and applications, including repeated and stochastic games, differential dynamic games, optimal stopping games, and numerical methods and algorithms for solving dynamic games. The diverse topics included will also benefit researchers and graduate students in applied mathematics, economics, engineering, systems and control, and environmental science.
