Similar Search Results

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt

Schneider, Sebastian - 2001

Persistent link: https://www.econbiz.de/10001530439

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and … makers, when reviewing their policies, to avoid excessive fluctuations in stock markets. …

Persistent link: https://www.econbiz.de/10012237439

The Momentum Effect in Country-Level Stock Market Anomalies

Zaremba, Adam - 2019

The aim of this paper is to investigate the momentum effect in country-level anomalies in global equity markets. By …

Persistent link: https://www.econbiz.de/10012904212

Implied cost of capital and mutual fund performance

Hendriock, Mario - 2020

This study provides evidence for a positive association between mutual fund holdings’implied cost of capital (ICC) and future performance. Consistent with large transactioncosts of ICC-based investments impeding their exploitation and employing a ICC-basedstrategy reflecting skill,...

Persistent link: https://www.econbiz.de/10012387256

Implied rates of return, the discount rate effect, and market risk premia

Breuer, Wolfgang; Gürtler, Marc - 2010 - This Version: 2010-10-22

estimation equation for future expected one-period returns based on current and past implied rates of return that is superior to … simple estimators based on historical returns. The reason for this superiority is a lower variance of estimation results and … ; equity premium puzzle ; implied rate of return …

Persistent link: https://www.econbiz.de/10009487229

Separating Momentum from Reversal in International Stock Markets

Walkshäusl, Christian - 2019

losers helps to ex ante separate stocks with momentum from those that exhibit reversal in international equity markets. A …

Persistent link: https://www.econbiz.de/10012893957

Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94

apply the bootstrap method to evaluate the variability of their estimation method. The cost of capital they refer to is …

Persistent link: https://www.econbiz.de/10012183556

Identifying Portfolio-Based Systematic Risk Factors in Equity Markets

Grobys, Klaus - 2016

Four new prominent asset pricing factors have recently been proposed. We test whether these factors fulfill necessary conditions for qualifying those as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality...

Persistent link: https://www.econbiz.de/10013003083

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