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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

Liquidity Forecasts and Stock Returns

Schmitt, Claus; Schuster, Philipp - 2023

We suggest a procedure to predict individual stock liquidity and study the relation between stock liquidity forecasts … and average stock returns. Our forecast model reduces the root-mean-squared error by 12% for the Amihud (2002) liquidity … measure compared to realized stock liquidity in the previous month. Our liquidity forecasts capture economically large changes …

Persistent link: https://www.econbiz.de/10014351379

Can Internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009355522

Can internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011 - First draft: October 10, 2011, This draft: October 25, 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009357284

Changes in the composition of publicly traded firms : implications for the dividend-price ratio and return predictability

Jank, Stephan - 2012

This article documents how the changing composition of U.S. publicly traded firms has prompted a decline in the long-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend-price ratio for such changes resolves several issues with respect to the...

Persistent link: https://www.econbiz.de/10009663676

Mean Ratio Statistic for measuring predictability

Linton, Oliver; Smetanina, Katja - 2015

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...

Persistent link: https://www.econbiz.de/10010481079

Cross-sectional and time-series tests of return predictability : what is the difference?

Goyal, Amit; Jegadeesh, Narasimhan - 2015

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

Persistent link: https://www.econbiz.de/10011296939

Predictability of Returns and Cash Flows

Koijen, Ralph S. J. - 2011

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries

Persistent link: https://www.econbiz.de/10013132300

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

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