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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...

Persistent link: https://www.econbiz.de/10012824300

Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange

Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

Persistent link: https://www.econbiz.de/10013179575

Does Investor Sentiment Predict Future Mexican Stock Market Returns?

Perez-Liston, Daniel - 2017

This paper studies whether investor sentiment can predict future Mexican stock market returns. Furthermore, we examine the dynamic correlation between sentiment and returns. Lastly, we examine whether sentiment innovations influence unexpected returns. We find that sentiment has significant...

Persistent link: https://www.econbiz.de/10012948714

Global Expected Business Condition and International Stock Return Predictability

Jiang, Fuwei; Jin, Fujing; Liu, Hongkui; Yu, Jiasheng - 2023

We propose a global expected business cycle condition factor (GEBC) relying on OECD leading economic indicators of 18 stock markets through Principal Component Analysis (PCA) approach, and show that this index is a powerful predictor for stock returns around the globe both in- and out-of-sample....

Persistent link: https://www.econbiz.de/10014350912

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

Persistent link: https://www.econbiz.de/10010441139

Do Investors Care About Carbon Risk? A Global Perspective

Zhang, Shaojun - 2022

Companies face significant carbon-transition risk as the global economy works to combat climate change. This paper studies the market-based premium associated with the carbon-transition risk globally and finds that firms with more carbon-intense business models earn higher returns in recent...

Persistent link: https://www.econbiz.de/10013403934

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

Forecasting high-yield bond spreads using the loan market as leading indicator

Simmons-Süer, Banu - 2013

This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...

Persistent link: https://www.econbiz.de/10009707628

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

The Predictability of Aggregate Japanese Stock Returns : Implications of Dividend Yield

Chen, Sichong - 2011

This paper explores the implications of a dividend yield model for predicting aggregate Japanese stock returns using long time-series data from 1949 to 2009. In addition to one-period return tests, we conduct statistical tests based on dividend growth forecasts and long-horizon return forecasts...

Persistent link: https://www.econbiz.de/10013119485

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