Similar Search Results

Analyst Long-Term Growth Forecasts, Accounting Fundamentals and Stock Returns

Fisher, Gregg S. - 2017

We decompose consensus analyst long-term growth forecasts into a hard growth component that captures accounting information (asset and sales growth, profitability and equity dilution) and an orthogonal soft growth component. The soft component does not forecast future returns, and the hard...

Persistent link: https://www.econbiz.de/10012969603

Using Sentiment to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110894

Dividend Growth and Return Predictability : A Long-Run Re-Examination of Conventional Wisdom

Verdickt, Gertjan - 2019

We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected returns and that expected dividend growth is only weakly...

Persistent link: https://www.econbiz.de/10012897291

Time-Varying Predictability for Stock Returns, Dividend Growth and Consumption Growth

McMillan, David G. - 2014

(negative growth, higher volatility and positive growth/return covariance). In contrast, dividend growth and consumption growth …

Persistent link: https://www.econbiz.de/10013047677

External Growth and the Cross Section of Stock Returns

Li, Hongtao - 2017

Prior research finds expected returns decrease in firm-level total asset growth. This study shows that external growth, measured as asset growth raised from capital markets, has stronger power than total asset growth predicting the cross section of average returns. External growth subsumes the...

Persistent link: https://www.econbiz.de/10012970654

Expected Investment Growth and the Cross Section of Stock Returns

Li, Jun - 2018

We propose a measure of corporate investment plans, namely, the expected investment growth (EIG). We document a robust finding that firms with high EIG have larger future investment growth and earn significantly higher returns than firms with low EIG, which cannot be fully explained by leading...

Persistent link: https://www.econbiz.de/10012935108

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory. Online Appendix

Colacito, Ric - 2015

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory.The paper to which these …

Persistent link: https://www.econbiz.de/10013025168

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns : Evidence and Theory

Colacito, Ric - 2015

We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding which is robust to controlling for a large set of well established predictive factors. We show that introducing...

Persistent link: https://www.econbiz.de/10013036192

The Nexus of Asset Pricing, Volatility and the Business Cycle

Roy, Rahul; Santhakumar, Shijin - 2021

Purpose: The purpose of the study is to examine the dynamics in the troika of asset pricing, volatility, and the … realized volatility measure for the GARCH-type models.Findings: The comprehensive empirical investigation led to the following … estimates neither show any significant impact of past conditional volatility on the current conditional volatility nor any …

Persistent link: https://www.econbiz.de/10013211332

Equilibrium Growth, Inflation, and Bond Yields

Kung, Howard - 2012

also generates a sizeable equity premium and high investment volatility …

Persistent link: https://www.econbiz.de/10013109941