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Fama French Factors and US Stock Return Predictability

Panopoulou, Ekaterini - 2011

This paper investigates whether the HML, the SMB along with the short-term reversal, the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more...

Persistent link: https://www.econbiz.de/10013127477

Beta Estimation with Stock Return Outliers : The Case of U.S. Pharmaceutical Companies

Theodossiou, Alexandra K. - 2009

Efficient estimation of the equity cost of public corporations is an essential component of computing the required rate … relies on the CAPM model to define the return risk premium, and the OLS method to estimate the beta risk coefficient required … verified on a sample of U.S. pharmaceutical companies by comparing the OLS estimation performance with that of our proposed …

Persistent link: https://www.econbiz.de/10013159450

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …

Persistent link: https://www.econbiz.de/10012907181

Are firms in "boring" industries worth less?

Chen, Jia; Hou, Kewei; Stulz, René M. - 2015

Using theories from the behavioral finance literature to predict that investors are attracted to industries with more salient outcomes and that therefore firms in such industries have higher valuations, we find that firms in industries that have high industry-level dispersion of profitability...

Persistent link: https://www.econbiz.de/10010531875

Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2018

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Persistent link: https://www.econbiz.de/10012913073

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are …

Persistent link: https://www.econbiz.de/10012959469

Stock Return Predictability and the Adaptive Markets Hypothesis : Evidence from Century Long U.S. Data

Kim, Jae H. - 2010

We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no...

Persistent link: https://www.econbiz.de/10013148621

International Stock Return Predictability : The Role of U.S. Volatility Risk

Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and significantly predicts future stock market returns of the...

Persistent link: https://www.econbiz.de/10014236052

International stock return predictability : on the role of the United States in bad and good times

Siliverstovs, Boriss - 2016

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

Persistent link: https://www.econbiz.de/10011519115

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

Persistent link: https://www.econbiz.de/10001617689