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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063
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What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Haab, David R.; Nitschka, Thomas - In: Swiss journal of economics and statistics 155 (2019) 16, pp. 1-17
Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...
Persistent link: https://www.econbiz.de/10012137996
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Predicting German Stock and Bond Returns with Macro-Variables : Evidence of Market Timing
Hyde, Stuart - 2010
We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using a battery of performance metrics in addition to measures of superior predictive accuracy to identify the ‘best' models. We also examine whether combination forecasts provide...
Persistent link: https://www.econbiz.de/10013149198
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Economically-Linked Economies and Forecasting Chinese Stock Returns
Jordan, Steven J. - 2012
indices from countries that China net exports from can forecast the Chinese aggregate market return at the weekly time horizon …. Countries that China net exports to have no consistently significant OOS predictability.The economic intuition for our results … follows from the fact that China has positioned itself as a low-cost provider competing on price. As a low-cost provider China …
Persistent link: https://www.econbiz.de/10013098289
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China Markets and Global Stock Return Predictability
Sun, Yulong - 2020
We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …
Persistent link: https://www.econbiz.de/10012824300
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Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10011335205
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Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010348307
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Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010406941
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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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Predictability of Short-Horizon Returns in the Sri Lankan Stock Market
Samarakoon, Lalith P. - 2009
Research on the predictability of short-horizon returns in developed markets has shown that daily, weekly and monthly returns are predictable from past returns, and that the predictable variation is a small part of variance of returns. In order to provide evidence from an emerging stock market,...
Persistent link: https://www.econbiz.de/10013160319