Showing 1 - 10 of 855
The purpose of this research is to determine the main forecasting factors of stock analysts, to analyze whether stock analysts have a rational base for their advice to the individual investors. According to the Modigliani-Miller theorem, the factors which affected to dividend and capital gain...
Persistent link: https://www.econbiz.de/10013115296
This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...
Persistent link: https://www.econbiz.de/10013116882
This paper provides a comprehensive analysis on the stock return predictability in Turkey, January 1997 to July 2011, by employing both portfolio method and cross-sectional regressions. In the risk-related predictors, we found predictive power of beta, total volatility, and idiosyncratic...
Persistent link: https://www.econbiz.de/10013107852
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...
Persistent link: https://www.econbiz.de/10013066429
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...
Persistent link: https://www.econbiz.de/10013066748
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...
Persistent link: https://www.econbiz.de/10013067331
This study aims to verify whether there are any macroeconomic variables that have significant power in predicting the dynamics of financial markets. In particular, we want to identify an econometric model that can guide the strategies of operators in building their investment portfolios. The...
Persistent link: https://www.econbiz.de/10013075743
This paper evaluates in-sample and out-of-sample stock return predictability with inflation and output gap, the variables that typically enter the Federal Reserve Bank's interest rate setting rule. To examine the role of monetary policy fundamentals for stock return predictability, we introduce...
Persistent link: https://www.econbiz.de/10013015232
This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....
Persistent link: https://www.econbiz.de/10013156771
By studying 81 countries over a period of up to 144 years, with different classes of predictor variables and various forecast specifications, we conduct the most comprehensive equity premium predictability analysis to date. We find that excess returns are more predictable in Emerging and...
Persistent link: https://www.econbiz.de/10012837980