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Author: James L. Davis Publisher: ISBN: Category : Languages : en Pages :
Book Description
Using a database that is free of survivorship bias, this paper finds that book-to-market equity, earnings yield and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July, 1940 to June, 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.
Author: James L. Davis Publisher: ISBN: Category : Languages : en Pages :
Book Description
Using a database that is free of survivorship bias, this paper finds that book-to-market equity, earnings yield and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July, 1940 to June, 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.
Author: Mathias Külpmann Publisher: Springer Science & Business Media ISBN: 9783540140078 Category : Business & Economics Languages : en Pages : 268
Book Description
Mathias Külpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.
Author: Shelly Howton Publisher: ISBN: Category : Languages : en Pages :
Book Description
Using the dual-beta model of Bhardwaj and Brooks (1993), thisstudy examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns. These relationships are not lost even after other independent variables, including size, book-to-market equity, and an earnings-price ratio, are added to the cross-sectional regressions. Book-to-market equity is an important factor in bear, but not bull, markets. Size is important in January and bear markets during February through December.
Author: 蘇昱翔 Publisher: ISBN: Category : Languages : en Pages :
Book Description
The realized moments innovations are calculated by the intraday data to the weekly frequency. From realized moments innovations we investigate if these variables are informative for the future stock returns. We find that realized skewness innovations are negative with next week's stock returns. Our work shows that makes portfolios with buying the stocks in highest previous realized moments innovations and selling the stocks in lowest previous realized moments innovations can make good profit. Our realized moments innovations are robust some firm characteristics can predict still signicance over two weeks. We do not find evidence that realized volatility innovations, realized kurtosis innovations and next week's stock return have the relationship..
Author: Nathaniel Light Publisher: ISBN: Category : Languages : en Pages : 70
Book Description
We propose a new approach for estimating expected returns on individual stocks from a large number of firm characteristics. We treat expected returns as latent variables and apply the partial least squares (PLS) estimator that filters them out from the characteristics under an assumption that the characteristics are linked to expected returns through one or few common latent factors. The estimates of expected returns constructed by our approach from twenty six firm characteristics generate a wide cross-sectional dispersion of realized returns and outperform estimates obtained by alternative techniques. Our results also provide evidence of commonality in asset pricing anomalies.
Author: Donald B. Keim Publisher: ISBN: Category : Languages : en Pages :
Book Description
A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
Author: James L. Davis
Author: James L. Davis
Author: Stijn Claessens
Author: Mathias Külpmann
Author: Shelly Howton
Author: 蘇昱翔
Author: Nathaniel Light
Author: Jean-Paul Sursock
Author: Donald B. Keim
Author: Stijn Claessens
Author: J. Benson Durham