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Estimation Risk, Market Efficiency, and the Predictability of Returns

Lewellen, Jonathan - 2000

. Cross-sectionally, expected returns deviate from the CAPM even if investors attempt to hold mean-variance efficient …

Persistent link: https://www.econbiz.de/10012471062

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Robust-H-infinity Forecasting and Asset Pricing Anomalies

Tornell, Aaron - 2000

We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...

Persistent link: https://www.econbiz.de/10012470997

On Forecasting Interest Rates : An Efficient Markets Perspective

Pesando, James E. - 1979

This paper reviews, from an applied forecasting perspective, the properties of short- and long-term interest rates in an efficient market. The paper emphasizes that efficient markets do not preclude economic agents from successfully forecasting movements in short-term interest rates. For brief...

Persistent link: https://www.econbiz.de/10012478737

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market

Boudoukh, Jacob - 2003

fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

Persistent link: https://www.econbiz.de/10012469188

Equity market liberalizations as country IPOs

Martell, Rodolfo - 2003

Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...

Persistent link: https://www.econbiz.de/10012469222

Private Information and Sunspots in Sequential Asset Markets

Benhabib, Jess - 2014

We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully...

Persistent link: https://www.econbiz.de/10012458620

Does Firm-specific Information in Stock Prices Guide Capital Allocation?

Durnev, Artyom - 2001

We show that firms in industries in which firm-specific stock price variation is larger use more external financing and allocate capital with greater precision in the sense that their marginal q ratios are closer to one. According to the Efficient Markets Hypothesis, greater firm-specific stock...

Persistent link: https://www.econbiz.de/10012470636

Volatility Tests and Efficient Markets : A Review Essay

Cochrane, John H. - 1991

This essay examines what volatility tests tell us about the data and what implications we should derive from them. It argues that volatility tests do not tell us that "prices are too volatile", implying that "markets are inefficient", but rather that "(discounted) returns are forecastable",...

Persistent link: https://www.econbiz.de/10012475429

Fads, Martingales, and Market Efficiency

Lehmann, Bruce N. - 1988

Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial …

Persistent link: https://www.econbiz.de/10012476533