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Golez, Benjamin - 2014

/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …

Persistent link: https://www.econbiz.de/10012457852

Earnings Quality and Stock Returns

Chan, Konan - 2001

An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...

Persistent link: https://www.econbiz.de/10012470416

Changing Times, Changing Values : A Historical Analysis of Sectors within the US Stock Market 1872-2013

Bunn, Oliver D. - 2014

We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...

Persistent link: https://www.econbiz.de/10012458297

Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole

Ferreira, Miguel A. - 2008

We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...

Persistent link: https://www.econbiz.de/10012464077

Market Reactions to Tangible and Intangible Information

Daniel, Kent - 2003

We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...

Persistent link: https://www.econbiz.de/10012468955

Analysts' Conflict of Interest and Biases in Earnings Forecasts

Chan, Louis K. C. - 2003

distribution of earnings surprises, the market's response to surprises and forecast revisions, and in the predictability of non …

Persistent link: https://www.econbiz.de/10012469156

Decision Fatigue and Heuristic Analyst Forecasts

Hirshleifer, David - 2018

firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by … issuing a rounded forecast. Finally, we find that the stock market understands these effects and discounts for analyst …

Persistent link: https://www.econbiz.de/10012453421

Forecasting Profitability

Rosenzweig, Mark - 2013

areas of India, and that farmers respond more strongly to the forecast where there is more forecast skill and not at all … when there is no skill. We show, using an IV strategy in which the Indian government forecast of monsoon rainfall serves as … estimated. Using the full rainfall distribution and our profit function estimates, we find that Indian farmers on average under …

Persistent link: https://www.econbiz.de/10012459327

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert - 2013

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora...

Persistent link: https://www.econbiz.de/10012459667

Predictability of Returns and Cash Flows

Koijen, Ralph S.J. - 2010

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries

Persistent link: https://www.econbiz.de/10012462008

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