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The British stock market under the structure of market capitalization value : new evidence on its predictive content
Georgiou, Catherine - In: International journal of business and economic sciences … 13 (2020) 3, pp. 56-69
Purpose: The aim of our paper is twofold. First, we examine the predictive ability of log bookmarket, dividend …-price, earnings-price and dividend-earnings ratios on the most recent data set of the strongest securities in the UK economy; unlike … the majority of the studies in this data set, our analysis is not limited on returns but further investigates dividend and …
Persistent link: https://www.econbiz.de/10012485885
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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 dividend and earnings yields-on the South African market, at both aggregated and sectoral level. Unlike most studies in South …
Persistent link: https://www.econbiz.de/10013179575
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Stock return, dividend growth and consumption growth predictability across markets and time :implications for stock price movement
McMillan, David G. - In: International review of financial analysis 35 (2014), pp. 90-101
Persistent link: https://www.econbiz.de/10010529621
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Adjusted dividend-price ratios and stock return predictability : evidence from China
Yin, Libo; Nie, Jing - In: International review of financial analysis 73 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10012803441
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What drives stock returns in Japan?
Liang, Samuel Xin - In: Financial markets and portfolio management 33 (2019) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012018355
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Local predictability of stock returns and cash flows
Yu, Deshui; Li, Chen - In: Journal of empirical finance 77 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10014578533
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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
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Modifications on book-valued ratios
Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37
book, dividends and earnings, Our analysis includes evidence of predictability on dividend and earnings growth rates on the … series and fix the book-earnings (be) and the dividend-book (db) ratios, We similarly modify be and db, and examine their … forecasting performance on returns, dividend and earnings growth. Findings: In-sample evidence suggests that an investor who …
Persistent link: https://www.econbiz.de/10014281276
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063