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International Evidence For Return Predictability And The Implications For Long Run Covariation Of The G7 Stock Markets
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Book Synopsis International Evidence for Return Predictability and the Implications for Long-run Covariation of the G7 Stock Markets by : Thomas Nitschka
Download or read book International Evidence for Return Predictability and the Implications for Long-run Covariation of the G7 Stock Markets written by Thomas Nitschka and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Stock Markets by : Wolfgang Drobetz
Download or read book Global Stock Markets written by Wolfgang Drobetz and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
Book Synopsis International Stock Return Predictability by : Pierre Giot
Download or read book International Stock Return Predictability written by Pierre Giot and published by . This book was released on 2016 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis International Stock Return Predictability by : Amélie Charles
Download or read book International Stock Return Predictability written by Amélie Charles and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis International Stock Return Predictability by : Pierre Giot
Download or read book International Stock Return Predictability written by Pierre Giot and published by . This book was released on 2006 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Implications of Return Predictability on Long-term Portfolio Choice by : Pascal Gisclon
Download or read book The Implications of Return Predictability on Long-term Portfolio Choice written by Pascal Gisclon and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Return Predictability and Market Integration by : David G. McMillan
Download or read book Stock Return Predictability and Market Integration written by David G. McMillan and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Three Essays on International Equity Returns and Valuation Ratios by : Ji Youn An
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.
Book Synopsis On the Out-of-sample Stock Return Predictability by : Hui Guo
Download or read book On the Out-of-sample Stock Return Predictability written by Hui Guo and published by . This book was released on 2003 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock Return Predictability from Current Output by : Kristi Pango
Download or read book Stock Return Predictability from Current Output written by Kristi Pango and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Factors and Stock Return Predictability by : Daniel Thomas Quill
Download or read book International Factors and Stock Return Predictability written by Daniel Thomas Quill and published by . This book was released on 2012 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Illiquidity, Return and Risk in G7 Stock Markets by : Andreas Andrikopoulos
Download or read book Illiquidity, Return and Risk in G7 Stock Markets written by Andreas Andrikopoulos and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading activity in G7 stock markets reflects not only the macroeconomic and financial impact of these G7 economies in international economic growth, but also their financial interdependence. While this nexus of major stock markets has been explored in terms of volatility and return spillovers, there has been no combined analysis of return, volatility and illiquidity spillovers. We study illiquidity spillovers because they are transmissions of trading activity and, thereof, transmissions of information and market sentiment. We find that the dynamics of international stock markets are characterized by persistent illiquidity and also that illiquidity shocks are significantly correlated across markets. Furthermore, we discover Granger causal associations between risk, return and illiquidity across G7 stock market and also within each stock market. Our findings bear significance for the regulation of international financial markets and also for international portfolio diversification.
Book Synopsis Reverse Splits in International Stock Markets by : Adam Zaremba
Download or read book Reverse Splits in International Stock Markets written by Adam Zaremba and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do firms conducting reverse splits underperform or overperform in the long run? To resolve this question we investigate the long-term returns following more than 5,000 reverse splits conducted in 24 developed equity markets between the years 1990 and 2016. Using the calendar-time portfolio approach, we demonstrate that reverse splits lead to subsequent underperformance, except for microcaps in the sample. This phenomenon is present in all the global regions we examined--North America, Europe, and Asia-Pacific--and is robust to many considerations.
Book Synopsis New Evidence of Linkages Among G7 Stock Markets by : Ramaprasad Bhar
Download or read book New Evidence of Linkages Among G7 Stock Markets written by Ramaprasad Bhar and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper enhances the investigation of international linkages in stock markets by focusing on the information dependence between the markets. This is achieved by examining the causality in the variances of the stock returns from the seven members of the OECD group of countries. The characteristics of the monthly stock market return from these countries are first captured in a Markov switching framework. The approach allows both the mean and the variance to depend on an unobserved state that is driven by a Markov process. The results show that the low variance states are quite stable whereas the high variance states are short-lived. Then, we also use the concordance measure to analyse the comovements of international stock prices. The overall evidence suggests that international co-movement in equity markets, at least in these G7 economies, is doubtful, and requires further exploration.
Book Synopsis Strategic Asset Allocation by : John Y. Campbell
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Book Synopsis Handbook of Volatility Models and Their Applications by : Luc Bauwens
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Book Synopsis Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge by : Tony Klein
Download or read book Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge written by Tony Klein and published by World Scientific. This book was released on 2022-06-07 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Finance and Risk Management is dedicated to our colleague, academic mentor, and adviser Professor Hermann Locarek-Junge. During his academic career, Hermann Locarek-Junge published several important contributions to the field of risk management and portfolio management and served as the chairman and board member of the German Finance Association (DGF) and the Data Science Society (Gesellschaft für Klassifikation).A short foreword by the mentors of Hermann Locarek-Junge and an introduction by the editors mark the beginning of the Festschrift. The first section on Modern Finance includes chapters on asset management, entrepreneurship, and behavioural finance. The second section on Modern Risk Management contains seven contributions covering considerations of risk measurement, risk management, and regulation. Finally, the third section includes topics on commodities and energy finance.This Festschrift comprises 20 original contributions of notable scholars in finance who have worked with Hermann Locarek-Junge over the last four decades. Due to numerous connections to practice and applications, Modern Finance and Risk Management is relevant and attractive not only to academics and researchers but also to practitioners in industry and banking.
