Stock Return Predictability

Author : Arthur Ritter
Publisher : GRIN Verlag
Page : 15 pages
File Size : 48,8 Mb
Release : 2015-05-27
Category : Business & Economics
ISBN : 9783656968924

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Stock Return Predictability by Arthur Ritter Pdf

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 : John H. Cochrane
Publisher : Princeton University Press
Page : 560 pages
File Size : 44,9 Mb
Release : 2009-04-11
Category : Business & Economics
ISBN : 9781400829132

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Asset Pricing by John H. Cochrane Pdf

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 : Wayne Ferson
Publisher : MIT Press
Page : 497 pages
File Size : 48,8 Mb
Release : 2019-03-12
Category : Business & Economics
ISBN : 9780262039376

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Empirical Asset Pricing by Wayne Ferson Pdf

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Author : Graham Elliott,Allan Timmermann
Publisher : Elsevier
Page : 667 pages
File Size : 49,9 Mb
Release : 2013-08-23
Category : Business & Economics
ISBN : 9780444627407

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Handbook of Economic Forecasting by Graham Elliott,Allan Timmermann Pdf

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 : Robert A. Meyers
Publisher : Springer Science & Business Media
Page : 919 pages
File Size : 49,7 Mb
Release : 2010-11-03
Category : Business & Economics
ISBN : 9781441977007

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Complex Systems in Finance and Econometrics by Robert A. Meyers Pdf

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 : Anselm Rogowski
Publisher : Unknown
Page : 20 pages
File Size : 43,8 Mb
Release : 2015-06-03
Category : Electronic
ISBN : 3656968934

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Stock Return Predictability by Anselm Rogowski Pdf

Research Paper 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 : Emmanuel Jurczenko
Publisher : John Wiley & Sons
Page : 460 pages
File Size : 51,8 Mb
Release : 2020-10-06
Category : Business & Economics
ISBN : 9781786305442

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Machine Learning for Asset Management by Emmanuel Jurczenko Pdf

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 : Jamie Alcock,Stephen Satchell
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 51,6 Mb
Release : 2018-06-05
Category : Business & Economics
ISBN : 9781119289012

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Asymmetric Dependence in Finance by Jamie Alcock,Stephen Satchell Pdf

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.

Author : Wayne E. Ferson,Andrea Heuson,Tie Su
Publisher : Unknown
Page : 34 pages
File Size : 47,6 Mb
Release : 2004
Category : Portfolio management
ISBN : OCLC:57569491

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Weak and Semi-strong Form Stock Return Predictability, Revisited by Wayne E. Ferson,Andrea Heuson,Tie Su Pdf

This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.

Author : Wayne E. Ferson
Publisher : Unknown
Page : 32 pages
File Size : 53,6 Mb
Release : 2005
Category : Stocks
ISBN : OCLC:57569491

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Weak and Semi-strong Form Stock Return Predictability Revisited by Wayne E. Ferson Pdf

Author : Zhong-guo Zhou
Publisher : Unknown
Page : 252 pages
File Size : 47,6 Mb
Release : 1993
Category : Capital assets pricing model
ISBN : UCR:31210009996693

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The Predictability of Stock Returns by Zhong-guo Zhou Pdf

Author : John Y. Campbell,Christopher Polk,Tuomo Vuolteenaho
Publisher : Unknown
Page : 66 pages
File Size : 47,6 Mb
Release : 2005
Category : Stocks
ISBN : IND:30000095359687

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Growth Or Glamour? by John Y. Campbell,Christopher Polk,Tuomo Vuolteenaho Pdf

The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.

Author : John Y. Campbell,Motohiro Yogo
Publisher : Unknown
Page : 51 pages
File Size : 49,9 Mb
Release : 2003
Category : Rate of return
ISBN : OCLC:249019127

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Efficient Tests of Stock Return Predictability by John Y. Campbell,Motohiro Yogo Pdf

Tests of the predictability of stock returns may be invalid when the predictor variable is persistent and its innovations are highly correlated with returns. This paper proposes two methods to deal with the problem. First, we develop a pretest that determines when the conventional t-test is misleading. Second, we develop a new test of predictability that always leads to correct inference and is efficient compared to existing methods. Applying our methods to US data, we find that the conventional t-test is highly misleading for the dividend-price ratio and the smoothed earnings-price ratio. However, we find evidence for predictability using our test, particularly with the earnings-price ratio. We also find evidence for predictability with the short-term interest rate and the long-short yield spread, for which the conventional t-test leads to correct inference

Author : David G McMillan
Publisher : Springer
Page : 136 pages
File Size : 41,7 Mb
Release : 2017-11-30
Category : Business & Economics
ISBN : 9783319690087

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Predicting Stock Returns by David G McMillan Pdf

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 : Yuzhao Zhang
Publisher : Unknown
Page : 316 pages
File Size : 45,5 Mb
Release : 2008
Category : Investments
ISBN : UCLA:L0099888745

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Essays on Return Predictability and Volatility Estimation by Yuzhao Zhang Pdf