Weak And Semi Strong Form Stock Return Predictability Revisited
Download Weak And Semi Strong Form Stock Return Predictability Revisited full books in PDF, epub, and Kindle. Read online free Weak And Semi Strong Form Stock Return Predictability Revisited ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
| Author | : Wayne E. Ferson |
| Publisher | : |
| Total Pages | : 33 |
| Release | : |
| Genre | : Electronic book |
| ISBN | : |
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 | : |
| Total Pages | : 32 |
| Release | : 2005 |
| Genre | : Stocks |
| ISBN | : |
| Author | : Wayne E. Ferson |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
| Author | : Robert A. Meyers |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 919 |
| Release | : 2010-11-03 |
| Genre | : Business & Economics |
| ISBN | : 1441977007 |
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 | : Ben Jacobsen |
| Publisher | : |
| Total Pages | : 73 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Monthly stock market returns are predictable when we refine the observation intervals of the variables used to predict these returns. Contrary to other predictability studies we find high out-of-sample adjusted R2s of up to 7% using economically important commodity returns. Shorter intervals reveal predictability consistent with near efficient markets based on price changes in industrial metals. More historical intervals expose predictability consistent with gradual information diffusion based on energy series. This predictability is robust to data mining adjustment, the inclusion of control (including economic) variables, and unrelated to time-varying risk. Inflation explains part of this predictability, but not all.
| Author | : Amélie Charles |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahead and dynamic) prediction intervals. Past studies have exclusively used point forecasts, which are of limited value since they carry no information about the intrinsic predictive uncertainty associated. We compare empirical performances of alternative prediction intervals for stock return generated from a naive model, univariate autoregressive model, and multivariate model (predictive regression and VAR), using the U.S. data from 1926. For evaluation free from structural change and data snooping bias, we adopt moving sub-sample windows of different lengths. It is found that the naive model often provides the most informative prediction intervals, outperforming those generated from the univariate model as well as those from the multivariate models that incorporate a range of economic and financial predictors. This strongly suggests that the U.S. stock market has been informationally efficient in the weak-form as well as in the semi-strong form, subject to the information set considered in this study.
| Author | : Wayne Ferson |
| Publisher | : MIT Press |
| Total Pages | : 497 |
| Release | : 2019-03-26 |
| Genre | : Business & Economics |
| ISBN | : 0262351307 |
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 | : Andrew Ang |
| Publisher | : Now Publishers Inc |
| Total Pages | : 99 |
| Release | : 2011 |
| Genre | : Business & Economics |
| ISBN | : 1601984685 |
The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
| Author | : H. Kent Baker |
| Publisher | : Oxford University Press |
| Total Pages | : 798 |
| Release | : 2013-01-07 |
| Genre | : Business & Economics |
| ISBN | : 019931151X |
Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.
| Author | : Abhay Abhyankar |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2002 |
| Genre | : |
| ISBN | : |
We revisit the evidence on the economic value of the predictive ability of the short rate for excess stock returns using market timing regressions and seven decades of US market data on aggregate indices, size decile portfolios and industry portfolios. We ask two questions. First, has the economic value of the predictive power of the short rate for stock returns changed over time? Second, can information on return volatility be used to enhance the profitability of market timing strategies? Our main results are as follows: first, we find that the economic value, to a naive investor, of the predictive ability of the short rate is low prior to the 1951 Treasury Accord period, high during the period 1950-1975 and has disappeared in the last two decades. We also find that the short rate has the most predictive ability for the durables industry sector and the smaller size stock portfolios. Second, we find that that market timing strategies are most profitable during periods of intermediate volatility. Our contribution here is to propose a new and simple approach that allows investors to significantly enhance the profitability of market timing strategies by optimally using information both in return and volatility forecasts.Key words: Return predictability; short rate, sign regressions, filter rules, volatility.
