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Connecting expected stock returns to accounting valuation multiples : a primer
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - 2021
) correct for the use of stale accounting data in estimation, and 3) accommodate differences in information quality. This …
Persistent link: https://www.econbiz.de/10012511896
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Accounting data, market values, and the cross section of expected returns worldwide
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charles C. Y. - 2015
29 international equity markets, with a highly significant average slope coefficient of 1.05. In sharp contrast, standard …
Persistent link: https://www.econbiz.de/10011305235
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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
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2010
This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...
Persistent link: https://www.econbiz.de/10008666530
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2011 - First Version: December 2008, This Version: October 2011
This paper develops a broad-based sentiment indicator for Germany and investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known...
Persistent link: https://www.econbiz.de/10009705481
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Systematic mispricing in European equity prices?
Berneburg, Marian (contributor) - 2007
this, it is deduced that systematic pricing errors occur in equity markets which hence can not be efficient in the Effcient …One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is … investment style indices from an integrated European Equity market, all usual assumptions are dropped. This is achieved by …
Persistent link: https://www.econbiz.de/10003482498
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The real side of the high-volume return premium
Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A. - 2017
Prior literature demonstrates that an increased trading activity of a fi rm's stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this...
Persistent link: https://www.econbiz.de/10011800651
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Going by the book : valuation ratios and stock returns
Choi, Ki-Soon; So, Eric; Wang, Charles C. Y. - 2021
We study the use of firms' book-to-market ratios (B/M) in value investing and its implications for comovements in firms’ stock returns and trading volumes. We show B/M has become increasingly detached from common alternative valuation ratios over time while also becoming worse at forecasting...
Persistent link: https://www.econbiz.de/10012586511
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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