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Author : Clive William John Granger
Publisher :
ISBN 13 :
Total Pages : 346 pages
Book Rating : 4.F/5 ( download)
Download or read book Predictability of Stock Market Prices written by Clive William John Granger and published by . This book was released on 1970 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhong-guo Zhou
Publisher :
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.3/5 (121 download)
Download or read book The Predictability of Stock Returns written by Zhong-guo Zhou and published by . This book was released on 1993 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A. Meyers
Publisher : Springer Science & Business Media
ISBN 13 : 1441977007
Total Pages : 919 pages
Book Rating : 4.4/5 (419 download)
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Author : Steve Van Uytbergen
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (677 download)
Download or read book The Predictability of Stock Returns written by Steve Van Uytbergen and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shmuel Kandel
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel and published by . This book was released on 1995 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author : Graham Elliott
Publisher : Elsevier
ISBN 13 : 0444627405
Total Pages : 667 pages
Book Rating : 4.4/5 (446 download)
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
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 : Shmuel Kandel (deceased)
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book On the Predictability of Stock Returns written by Shmuel Kandel (deceased) and published by . This book was released on 2010 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (348 download)
Download or read book Predictability of Stock Returns written by M. Hashem Pesaran and published by . This book was released on 1995 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 1786305445
Total Pages : 460 pages
Book Rating : 4.7/5 (863 download)
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.
Author : Judith Klähn
Publisher : Springer Science & Business Media
ISBN 13 : 3322813789
Total Pages : 137 pages
Book Rating : 4.3/5 (228 download)
Download or read book The Predictabilty of German Stock Returns written by Judith Klähn and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judith Klähn proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. She shows that the composition of Germany's investor base plays an important role, and she outlines the variables crucial for the German stock market.
Author : Shmuel Kandel
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (848 download)
Download or read book On the Predictability of Stock Returns: an Asset-allocation Perpective written by Shmuel Kandel and published by . This book was released on 1995 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael J. Cooper
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book On the Predictability of Stock Returns in Real Time written by Michael J. Cooper and published by . This book was released on 2002 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers have documented an abundance of evidence that stock returns are predictable ex post. We address in this study whether the cross section of stock returns is predictable ex ante. We ask if a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to forecast stock returns during the 1974 to 1997 period. Using a recursive out-of-sample method, we find that the market was difficult to beat in real time. Our findings suggest that the current notion of predictability in the literature is exaggerated.
Author : Y. Peter Chung
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Predictability of Stock Returns - a Nonparametric Approach written by Y. Peter Chung and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reexamines the predictability of stock returns with a nonparametric model. We first identify, through a set of diagnostic tests, five lagged predictive factors from a linear model. Using these factors, we predict one-month- ahead stock index returns with a nonparametric approach. We find that our nonparametric model can correctly predict about 74% of stock index return signs. With various ex ante trading rules based on nonparametric predictions and transaction cost schedules, we then compare the performance of quot;managedquot; portfolios with that of the quot;buy and holdquot; portfolios. We find that the managed portfolios are mean- variance dominant over the buy-and-hold strategies when no or low transaction costs are assumed. When high transaction costs are assumed instead, the mean-variance dominance diminishes. However, the Sharpe index of risk-adjusted portfolio performance indicates that the managed portfolios significantly outperform the buy-and-hold strategies even for the high-transaction cost scenario. We show that the difference in performance between the managed portfolios and the buy-and-hold strategies can be partially explained by the January effect or the small firm effect. In sum, this paper demonstrates the merits of using a nonparametric approach for predicting stock returns and testing market efficiency.
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 : Jamie Alcock
Publisher : John Wiley & Sons
ISBN 13 : 1119289017
Total Pages : 312 pages
Book Rating : 4.1/5 (192 download)
Download or read book Asymmetric Dependence in Finance written by Jamie Alcock and published by John Wiley & Sons. This book was released on 2018-06-05 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avoid downturn vulnerability by managing correlation dependency Asymmetric Dependence in Finance examines the risks and benefits of asset correlation, and provides effective strategies for more profitable portfolio management. Beginning with a thorough explanation of the extent and nature of asymmetric dependence in the financial markets, this book delves into the practical measures fund managers and investors can implement to boost fund performance. From managing asymmetric dependence using Copulas, to mitigating asymmetric dependence risk in real estate, credit and CTA markets, the discussion presents a coherent survey of the state-of-the-art tools available for measuring and managing this difficult but critical issue. Many funds suffered significant losses during recent downturns, despite having a seemingly well-diversified portfolio. Empirical evidence shows that the relation between assets is much richer than previously thought, and correlation between returns is dependent on the state of the market; this book explains this asymmetric dependence and provides authoritative guidance on mitigating the risks. Examine an options-based approach to limiting your portfolio's downside risk Manage asymmetric dependence in larger portfolios and alternate asset classes Get up to speed on alternative portfolio performance management methods Improve fund performance by applying appropriate models and quantitative techniques Correlations between assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most. The 2008 Global Financial Crisis and the 2006 hedge-fund crisis provide vivid examples, and many investors still bear the scars of heavy losses from their well-managed, well-diversified portfolios. Asymmetric Dependence in Finance shows you what went wrong, and how it can be corrected and managed before the next big threat using the latest methods and models from leading research in quantitative finance.
