Max Pain price is the strike price at which the total payoff of all options (calls and puts) written on a particular stock, and with the same expiration date, is the lowest. We construct a measure of (potential) Max Pain gain/loss, sort stock prices according to this measure, and find that a...

This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

In this paper we evaluate alternative volatility forecasting methods under Value at Risk (VaR) modelling. We calculate one-step-ahead forecasts of daily VaR for the WIG20 index quoted on the Warsaw Stock Exchange within the period from 2007 to 2011. Our analysis extends the existing research by...

According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield as a model-imposed affine...

A large literature establishes a set of predictors that robustly forecast future market returns, raising questions about these predictors' origins. We develop an approach to determine whether a particular predictor represents a proxy for fundamental risk, which is based on an intuitive...

We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no...

By studying 81 countries over a period of up to 144 years, with different classes of predictor variables and various forecast specifications, we conduct the most comprehensive equity premium predictability analysis to date. We find that excess returns are more predictable in Emerging and...

Risk-neutral valuation is used to value a portfolio and decompose it into the components accruing to its stakeholders. The analysis incorporates managers' expected performance and contract renewal issues. A managed portfolio's economic value is shown to differ from its net asset value. A better...

From the mid-1990s, the Nigerian Stock Exchange (NSE) has witnessed remarkable growth mainly due to privatization, new minimum capital requirements, improvements in market infrastructure, amongst a host of other factors. The vast potential of the nation's secondary market is clearly indicated in...

The purpose of this study is to examine patterns of price limit hits for stocks listed on the Tokyo Stock Exchange. Explanations are provided for the empirical findings and the extent to which the price limit hit patterns are related to existing stock returns patterns. We argue that if patterns...