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Stock return predictability of residual-income-based valuation : risk or mispricing?
Hwang, Lee Seok; Lee, Woo-jong - In: Abacus : a journal of accounting, finance and business … 49 (2013) 2, pp. 219-241
Persistent link: https://www.econbiz.de/10009769203
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The predictability of German stock returns
Klähn, Judith - 2000
Persistent link: https://www.econbiz.de/10001476569
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Predictability of the simple technical trading rules : an out-of-sample test
Fang, Jiali; Jacobsen, Ben; Qin, Yafeng - In: Review of financial economics : RFE 23 (2014) 1, pp. 30-45
Persistent link: https://www.econbiz.de/10010442638
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A simple return generating model in discrete time : implications and potential applications for market efficiency testing and technical analysis
Milionis, Alexandros E. - In: Theoretical economics letters 9 (2019) 4, pp. 973-985
Persistent link: https://www.econbiz.de/10012023083
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
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Dynamic quantile panel data analysis of stock returns predictability
Güloğlu, Bülent; Uyar, Sinem Güler Kangalli; Uyar, Umut - In: International journal of economics and finance 8 (2016) 2, pp. 115-126
Persistent link: https://www.econbiz.de/10011442125
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Predictability of industry stock return : the Australian evidence ; investigation into return predictability
Yao, Juan - 2009
Persistent link: https://www.econbiz.de/10003984729
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Stock return predictability and the adaptive markets hypothesis : evidence from century-long US data
Kim, Jae H.; Shamsuddin, Abul; Lim, Kian-Ping - In: Journal of empirical finance 18 (2011) 5, pp. 868-879
Persistent link: https://www.econbiz.de/10009492527
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Feasible earnings momentum in the U.S. stock market : an investor's perspective
Krauss, Christopher; Beerstecher, Daniel; Krüger, Tom - 2015
This paper examines earnings momentum strategies in the U.S. stock universe from an investor's perspective. Specifically, we use the software Stock Investor Pro from the American Association of Individual Investors (AAII) to obtain the composition of the U.S. stock universe from 2005-2015 on a...
Persistent link: https://www.econbiz.de/10011346692
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Does long-term disequilibrium in stock price predict future returns?
Hur, Jungshik; Vivek Singh - In: Review of quantitative finance and accounting 41 (2013) 4, pp. 753-767
Persistent link: https://www.econbiz.de/10010246376