Essays on Asset Return Predictability PDF Download

Author: Sung-Hwan Shin
Publisher:
ISBN:
Category :
Languages : en
Pages : 348

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Author: Ruslan Sergeevich Tuneshev
Publisher:
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Category :
Languages : en
Pages :

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Author: Antonio Gargano
Publisher:
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Category :
Languages : en
Pages :

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Author: Yuzhao Zhang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 316

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Author: Arthur Ritter
Publisher: GRIN Verlag
ISBN: 3656968926
Category : Business & Economics
Languages : en
Pages : 21

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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: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123

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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: Xin Wang
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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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: Runqing Wan
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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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: David G McMillan
Publisher: Springer
ISBN: 3319690086
Category : Business & Economics
Languages : en
Pages : 141

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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: Shunlin Liang
Publisher:
ISBN:
Category : Industrial management
Languages : en
Pages :

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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.