Narrow search
Showing 1 - 10 of 27,999
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
GMM-Based Tests of Efficient Market Learning and an Application to Testing for a Small Firm Effect in Equity Pricing
Potì, Valerio - 2013
In this paper, we extend Bossaerts' (2004) analysis of the implications of the efficient learning market hypothesis (ELM) for asset prices by reformulating it in a GMM setting. Our representation is more amenable to widespread application and allows the econometrician, in testing ELM, to make...
Persistent link: https://www.econbiz.de/10013087231
Cover Image
Patent claim's impact on stock return rate based on China stock market's empirical study
Tsai, Hong-Wen; Che, Hui-Chung; Bai, Bo - In: International journal of business and economic sciences … 15 (2022) 1, pp. 27-46
listed companies, more particularly, to find out whether China patent's claim impacted on China listed company's stock return … rate or not. It was because the claim played the most important role in a patent which being a key driving force for modern … business. Design/methodology/approach: This research used a company integrated China patent database in which all subsidiary …
Persistent link: https://www.econbiz.de/10013332126
Cover Image
Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...
Persistent link: https://www.econbiz.de/10009558452
Cover Image
Testing for predictability in a noninvertible ARMA model
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012
We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...
Persistent link: https://www.econbiz.de/10009621936
Cover Image
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
Cover Image
Dividends, Momentum and Macroeconomic Variables as Determinants of the U.S. Equity Premium Across Economic Regimes
Malliaris, A. (Tassos) G. - 2011
the equity premium across economic regimes than what we can learn from single-equation estimation. Our results also …
Persistent link: https://www.econbiz.de/10013128024
Cover Image
The Market Value of Equity-to-Gross Domestic Product Ratio as a Predictor of Long-term Equity Returns : Evidence from the U.S. Market, 1951-2019
Umlauft, Thomas S. - 2020
In a 2001 interview in Forbes, Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify potential equity market mispricings. This paper investigates the return-predictive characteristics of the market value of equity-to-gross...
Persistent link: https://www.econbiz.de/10012839874