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Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

A Closer Look at Return Predictability of the US Stock Market : Evidence from a Panel Variance Ratio Test

Kim, Jae H. - 2013

This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...

Persistent link: https://www.econbiz.de/10013086798

The Information Content of Target Price Forecasts : Evidence from Mergers and Acquisitions

Ho, Tuan Quoc; Brownen‐Trinh, Ruby; Xu, Fangming - 2021

more likely to become a takeover target and offer premium and acquirers’ announcement returns are positively associated …’ takeover likelihood generates economically significant returns. Our results are robust to a battery of additional analysis, and … useful for participants in the corporate takeover markets …

Persistent link: https://www.econbiz.de/10013237497

The Informational Feedback Effect of Stock Prices on Management Forecasts

Zuo, Luo - 2016

Using management earnings forecasts over the period 1996-2010, I find that the sensitivity of forecast revisions to contemporaneous stock returns is increasing in the amount of investors' private information in prices. This effect remains after controlling for various confounds and is robust to...

Persistent link: https://www.econbiz.de/10012996999

Two tales of return predictability : the case of Asia-Pacific equity markets

Shynkevich, Andrei - In: Journal of forecasting 36 (2017) 3, pp. 257-272

Persistent link: https://www.econbiz.de/10011729255

The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models

Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43

The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...

Persistent link: https://www.econbiz.de/10014285928