Results 261 to 270 of about 15,148 (305)
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SSRN Electronic Journal, 2003
Abstract This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics.
D AVRAMOV, T CHORDIA
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Abstract This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics.
D AVRAMOV, T CHORDIA
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Stock return predictability and determinants of predictability and profits
Emerging Markets Review, 2016 We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by ...
Deepa Bannigidadmath +1 more
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Predicting Yields for Predicting Returns
SSRN Electronic Journal, 2012The ability of forward rates to forecast bond risk premia changes systematically with economic conditions and the level of yields. Two readily observable factors capturing, respectively, long-term yield convergence implied by monetary policy and flight-to-safety episodes substantially improve the fit in the forecasting regression of future bond returns.
Michael Markovich, Alberto Plazzi
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Prediction of return in online shopping
2015 23nd Signal Processing and Communications Applications Conference (SIU), 2015Mail order business gains popularity day by day. One major problem for the retailers is the high return rates. The incurred cost of returns forces companies to take measures to reduce the number of returns without affecting the customer satisfaction. The aim of this study is to predict whether a purchase results with a return or not based on historical
Ismail Bilgen, Ömer Sinan Saraç
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Trading volume and return predictability. [PDF]
, 2023 This thesis examines the relationship between trading volume and price changes, namely the relationship between trading volume and that of the absolute level of price changes and the direction of price changes. Prior studies have suggested that there is a positive but asymmetrical relationship between trading volume and the absolute level of price ...
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On the Predictability of Chinese Stock Returns
SSRN Electronic Journal, 2010Abstract We examine stock return predictability in China. We take 18 firm-specific variables that have been documented to predict cross-sectional stock returns in the U.S. and examine their relation with stock returns in China for the sample period from 1995 to 2007. We find relatively weak predictability for Chinese stocks.
Xuanjuan Chen +3 more
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Testing the Predictability of Stock Returns [PDF]
Review of Economics and Statistics, 2002 Previous literature indicates that stock returns are predictable by several strongly autocorrelated forecasting variables, especially at longer horizons. It is suggested that this finding is spurious and follows from a neglected near unit root problem.
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The supraview of return predictive signals
Review of Accounting Studies, 2012This study seeks to inform investment academics and practitioners by describing and analyzing the population of return predictive signals (RPS) publicly identified over the 40-year period 1970–2010. Our supraview brings to light new facts about RPS, including that more than 330 signals have been reported; the properties of newly discovered RPS are ...
Jeremiah Green +2 more
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Prediction of Acquisitions and Portfolio Returns
SSRN Electronic Journal, 2008Over recent decades, the forecasting and prediction of stock market acquisitions have been subject to increased interest due to the economic importance for various stakeholders. This study consists of two stages: dealing with the development of prediction models and their subsequent use within an investment strategy.
Georgios Ouzounis +2 more
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Taking sides on return predictability
Journal of Financial Economics, 2020We study how 9 different market participants trade with respect to 130 different stock return anomalies and how each participant’s trades predict returns. Retail investors trade against anomalies, while firms’ and short sellers’ trades agree with anomalies.
R. David McLean +2 more
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