Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
International Stock Return Predictability
Download International Stock Return Predictability full books in PDF, epub, and Kindle. Read online International Stock Return Predictability ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis International Stock Return Predictability: On the Role of the United States in Bad and Good Times by : Boriss Siliverstovs
Download or read book International Stock Return Predictability: On the Role of the United States in Bad and Good Times written by Boriss Siliverstovs and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis International Stock Return Predictability under Model Uncertainty by : Andreas Schrimpf
Download or read book International Stock Return Predictability under Model Uncertainty written by Andreas Schrimpf and published by . This book was released on 2010 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
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 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 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 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 Variance Risk Premium Components and International Stock Return Predictability by : Juan M. Londono
Download or read book Variance Risk Premium Components and International Stock Return Predictability written by Juan M. Londono and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Shipping Investor Sentiment and International Stock Return Predictability by : Nikos C. Papapostolou
Download or read book Shipping Investor Sentiment and International Stock Return Predictability written by Nikos C. Papapostolou and published by . This book was released on 2016 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock return predictability by investor sentiment has been subject to constant updating, but reaching a decisive conclusion seems rather challenging as academic research relies heavily on US data. We provide fresh evidence on stock return predictability in an international setting and show that shipping investor sentiment is a common leading indicator for financial markets. We establish out-of-sample predictability and demonstrate that investor sentiment is also economically significant in providing utility gains to a mean-variance investor. Finally, we find evidence that the predictive power of sentiment works best when negative forecasts are also taken into account.
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 Predicting Global Stock Returns by : Erik Hjalmarsson
Download or read book Predicting Global Stock Returns written by Erik Hjalmarsson and published by . This book was released on 2008 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Macro Variables, Interest Rates and International Stock Return Predictability by : Jürgen Friedmann
Download or read book Macro Variables, Interest Rates and International Stock Return Predictability written by Jürgen Friedmann and published by . This book was released on 2011 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Empirical Studies on Stock Return Predictability and International Risk Exposure by : Qinye Lu
Download or read book Empirical Studies on Stock Return Predictability and International Risk Exposure written by Qinye Lu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Predicting International Stock Returns with Conditional Price-to-Fundamental Ratios by : Jochen Lawrenz
Download or read book Predicting International Stock Returns with Conditional Price-to-Fundamental Ratios written by Jochen Lawrenz and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking the perspective of international asset allocation, this paper tests if predictive regressions conditional on time-series and cross-sectional information can improve forecasts of stock index returns. We use different current price-to-fundamental ratios as predictors and condition the sample on the indicator if time-series and cross-section deliver consistent versus opposing signals. Using panel regressions, we find that only consistent ratios (i) display significant mean-reverting behavior, (ii) provide strong in-sample as well as out-of-sample evidence for return predictability, and (iii) yield economic gains in a Bayesian asset allocation framework.
