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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

Machine Learning versus Economic Restrictions : Evidence from Stock Return Predictability

Avramov, Doron - 2020

This paper shows that investments based on deep learning signals extract profitability from difficult-to-arbitrage stocks and during high limits-to-arbitrage market states. In particular, excluding microcaps, distressed stocks, or episodes of high market volatility considerably attenuates...

Persistent link: https://www.econbiz.de/10012847845

Can Return Forecasts Enhance International Asset Allocation? Evidence from the Sum-of-Parts Approach

Chondrogiannis, Ilias; Vivian, Andrew; Wohar, Mark E. - 2022

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...

Persistent link: https://www.econbiz.de/10013403620

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

Some Historical Perspectives on the Bond-Stock Yield Model for Crash Prediction Around the World

Lleo, Sebastien - 2014

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Persistent link: https://www.econbiz.de/10013057068

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Does foreign information predict the returns of multinational firms worldwide?

Finke, Christian; Weigert, Florian - 2015 - This version: September 2015

We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future...

Persistent link: https://www.econbiz.de/10011344380

International Stock Return Predictability : Evidence from New Statistical Tests

Charles, Amélie - 2015

indicators (price pressure, change in volume), and short-term interest rates. We adopt two new alternative testing and estimation …. Both methods take explicit account of endogeneity of predictors, providing bias-reduced estimation and improved statistical …

Persistent link: https://www.econbiz.de/10013025410

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu - 2009

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified)...

Persistent link: https://www.econbiz.de/10013156240

Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks

Maio, Paulo F. - 2015

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

Persistent link: https://www.econbiz.de/10013036406