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Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises
Al Rababa'a, Abdel Razzaq - 2018
We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...
Persistent link: https://www.econbiz.de/10012919223
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Profit Persistence and Stock Returns : Does the Market Care?
McMillan, David G. - 2018
We examine the relation between stock returns and profit persistence. Profit persistence is an indicator of competitive … managerial ability and three different measures of profit, we establish that persistence typically increases in firm size, market …-level results regarding the cash flow and risk premium drivers. Also, for competition policy where results show higher profit …
Persistent link: https://www.econbiz.de/10012914860
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Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos S - 2021
We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for the fundamental–based news while...
Persistent link: https://www.econbiz.de/10013322478
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Does Feedback Trading Drive Returns of Cross-Listed Shares?
Chen, Jing - 2017
This paper examines the role of cross-listing in stock return dynamics with particular reference to feedback trading based on a sample of five most frequently traded cross-listed shares. We find that a long-run equilibrium relationship among the cross-listed share prices exists, but find no...
Persistent link: https://www.econbiz.de/10012954690
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Insider Trading and Future Stock Returns in Firms With Concentrated Ownership Levels
Chronopoulos, Dimitris K. - 2018
, suggesting that the trading activity of insiders is not always associated with profit making motives and can be explained by …
Persistent link: https://www.econbiz.de/10012916989
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Expected profitability, the 52-week high and the idiosyncratic volatility puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648
Persistent link: https://www.econbiz.de/10014387954
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273
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Stock Return Predictability : Using the Cyclical Component of the Price Ratio
McMillan, David G. - 2018
This paper considers whether the cyclical component of the log dividend-price and price-earnings ratios contain forecast power for stock returns. While the levels of these series contain slow moving information for predicting long horizon returns, for short-horizon returns it is the relative...
Persistent link: https://www.econbiz.de/10012919219
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Predicting Stock Returns : Historical Mean vs. Dividend Yield
McMillan, David G. - 2015
This paper considers whether the log dividend yield provides forecast power for stock returns. While this is an oft-researched topic there is no consensus answer and yet it remains crucial in our understanding of asset pricing. Using a five-year rolling window we compare forecasts from the...
Persistent link: https://www.econbiz.de/10013012956
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Stock Return Predictability : The Role of Inflation and Threshold Dynamics
McMillan, David G. - 2017
This paper argues that the nature of stock return predictability varies with the level of inflation. We contend that the nature of relations between economic variables and returns differs according to the level of inflation, due to different economic risk implications. An increase in low level...
Persistent link: https://www.econbiz.de/10012962333