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Predictability in securities price formation: differences between developed and emerging markets

Camilleri, Silvio John; Vassallo, Semiramis; Bai, Ye - In: Journal of capital markets studies 4 (2020) 2, pp. 146-166

Purpose This paper examines whether there are differences in the nature of the price discovery process across established versus emerging stock markets using a twenty-country sample. Design/methodology/approach The authors analyse security returns for traces of predictability or non-randomness...

Persistent link: https://www.econbiz.de/10012395371

Group affiliation and default prediction

Beaver, William H.; Cascino, Stefano; Correia, Maria; … - 2018

Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...

Persistent link: https://www.econbiz.de/10011864989

Testing market efficiency with nonlinear methods : evidence from Borsa Istanbul

Aliyev, Fuzuli - In: International Journal of Financial Studies : open … 7 (2019) 2/27, pp. 1-11

efficiency at Borsa Istanbul using a smooth transition autoregressive (STAR) type nonlinear model. I develop nonlinear ARCH and … STAR models, a linear AR model and random walk model for 10 years’ weekly data and then out-of-sample forecast next 12 … weeks’ return. Comparing forecast performance powers, I find that the STAR model outperforms random walk, that is Borsa …

Persistent link: https://www.econbiz.de/10012038735

Does foreign information predict the returns of multinational firms worldwide?

Finke, Christian; Weigert, Florian - 2015 - This version: September 2015

We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future...

Persistent link: https://www.econbiz.de/10011344380

Parameter instability and forecasting performance : a Monte Carlo study

Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, … - 2004

This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...

Persistent link: https://www.econbiz.de/10009728979

Predictability of Future Index Returns Based on the 52-Week High Strategy

Malin, Mirela - 2010

In a landmark paper, George and Hwang (2004) show that a stock's 52-week high price largely explains the momentum effect and that a strategy based on closeness to the 52-week high has better forecasting power for future returns than do momentum strategies. We find that the 52-week high strategy...

Persistent link: https://www.econbiz.de/10013135737

The Volatility Forecasting of Tehran & International Stock Exchanges

Khaleghi Moghaddam, Hamid - 2010

Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible. In this paper, we apply a battery of linear and nonlinear models to forecast the returns in nine international stock exchanges for the...

Persistent link: https://www.econbiz.de/10013138023

Stock Market Crashes in 2007-2009 : Were We Able to Predict Them?

Lleo, Sebastien - 2012

We investigate the stock market crashes in China, Iceland, and the US in the 2007-2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the trailing...

Persistent link: https://www.econbiz.de/10013114443

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Persistent link: https://www.econbiz.de/10013115711

International Stock Return Predictability : What is the Role of the United States?

Rapach, David - 2012

We investigate lead-lag relationships among country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries (after controlling for national economic variables and countries' own lagged...

Persistent link: https://www.econbiz.de/10013116627

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