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Return prediction in small capitalization companies on the Johannesburg Stock Exchange

Cox, Shaun; Willows, Gizelle D. - In: Investment management and financial innovations 14 (2017) 2, pp. 316-327

Persistent link: https://www.econbiz.de/10011818795

The output gap and stock returns : do cyclical fluctuations predict portfolio returns?

Vivian, Andrew; Wohar, Mark E. - In: International review of financial analysis 26 (2013), pp. 40-50

Persistent link: https://www.econbiz.de/10009717221

Forecasting the equity risk premium : the role of technical indicators

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - In: Management science : journal of the Institute for … 60 (2014) 7, pp. 1772-1791

Persistent link: https://www.econbiz.de/10010399441

Equity style payoffs and stock return predictability : evidence from the South African JSE Securities Exchange

Hodnett, Kathleen; Hsieh, Heng-hsing; Van Rensburg, Paul - In: The journal of applied business research 28 (2012) 4, pp. 605-617

Persistent link: https://www.econbiz.de/10009568699

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

Time-varying expected momentum profits

Kim, Dongcheol; Roh, Tai-Yong; Min, Byoung-Kyu; Byun, … - In: Journal of banking & finance 49 (2014), pp. 191-215

Persistent link: https://www.econbiz.de/10010508045

Determinants of stock returns : factors or systematic co-moments? ; crisis versus non-crisis periods

Hung, Chi-Hsiou D.; Azad, A. S. M. Sohel; Fang, Victor - In: Journal of international financial markets, … 31 (2014), pp. 14-29

Persistent link: https://www.econbiz.de/10011299361

The impact of highter order moments added to the multiscale Carhart model for different investment periods

Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276

Persistent link: https://www.econbiz.de/10011347007

The size effect in value and momentum factors : implications for the cross-section of international stock returns

Atanasov, Victoria; Nitschka, Thomas - 2013

basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors …We document a consistent and robust relation between expected equity premia and common risk factors constructed on the … capture patterns in returns on regional and global portfolios of stocks; (ii) size-effect models substantially outperform …

Persistent link: https://www.econbiz.de/10010224775

Are value, size and momentum premiums in CEE emerging markets only illusionary?

Zaremba, Adam; Konieczka, Przemysław - In: Finance a úvěr 65 (2015) 1, pp. 84-104

Persistent link: https://www.econbiz.de/10010481111

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