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A Tale of Two Indexes : Predicting Equity Market Downturns in China

Lleo, Sébastien - 2019

Predicting stock market crashes and corrections is a focus of interest for both researchers and practitioners. Several prediction models have been developed, mostly on mature financial markets. In this paper, we investigate whether fundamental crash predictors, the price-to-earnings ratio, the...

Persistent link: https://www.econbiz.de/10012903786

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

Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Persistent link: https://www.econbiz.de/10012404549

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

Persistent link: https://www.econbiz.de/10012404647

Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination

Fang, Jing - 2019

Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...

Persistent link: https://www.econbiz.de/10014103309

Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?

Keimling, Norbert - 2016

Existing research indicates that it is possible to forecast potential long-term returns in the S&P 500 for periods of more than 10 years using the cyclically adjusted price-to-earnings ratio (CAPE). This paper concludes that this relationship has also existed internationally in 17 MSCI Country...

Persistent link: https://www.econbiz.de/10012998360

Can Warren Buffett Forecast Equity Market Corrections?

Lleo, Sébastien - 2017

Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...

Persistent link: https://www.econbiz.de/10012971424

Forecasting Excess Returns of the Gold Market : Can We Learn from Stock Market Predictions?

Dichtl, Hubert - 2017

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast. Against this background, this study evaluates the forecasting power of three methods that have been applied successfully in a stock market prediction context: 1) technical...

Persistent link: https://www.econbiz.de/10012951544

Predicting Stock Market Returns Based on the Content of Annual Report Narrative : A New Anomaly

Wisniewski, Tomasz Piotr - 2015

This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is measured and used to forecast future stock returns. We find that two of...

Persistent link: https://www.econbiz.de/10013033070