Results 31 to 40 of about 1,694,940 (299)
Dividend sentiment, catering incentives, and return predictability
Journal of Corporate Finance, 2021 Using Internet search volume of dividend-related keywords to measure investor preference for dividends that varies over time and across states, we show that dividend sentiment affects corporate policies and asset prices.
Alok Kumar, Zicheng Lei, Chendi Zhang
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Testing the Adaptive Market Hypothesis and Time-Varying Efficiency in the Indian Equity Market [PDF]
Colombo Business JournalThe study examines the adaptive market hypothesis (AMH) as an evolutionary principle of the alternative efficient market hypothesis in the Indian stock market (Sensex and Nifty50) on the daily return from April 2014 to May 2020.
Nang Biak Sing, Rajkumar Giridhari Singh
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Asset Growth Anomaly & Future Stock Return; Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2014 This paper investigates asset growth pricing in firm-level cross section stock return in Tehran Stock Exchange for the period from 1379 to 1389. In order to test cross section stock return predictability by the firm's asset growth, the relation between ...
Maryam Davallou
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Predictability of Stock Returns in Central and Eastern European Countries
Acta Universitatis Lodziensis. Folia Oeconomica, 2022 Stock return predictability in highly developed countries has both empirical and theoretical justification in financial literature. The article aims to answer the question if market valuation ratios that relate share prices to various accounting ...
Piotr Pietraszewski
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Are markets adaptive? Evidence of predictability and market efficiency of lodging/resort REITs
International Journal of Strategic Property Management, 2020 We investigate the degree of return predictability of lodging/resort real estate investment trusts (REITs) from January 1994 to May 2016. We test the Martingale hypothesis by using linear (automatic portmanteau and automatic variance ratio with rolling ...
Fahad Almudhaf +2 more
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Is Human Capital the Sixth Factor? Evidence from US Data [PDF]
ACRN Journal of Finance and Risk Perspectives, 2019 Problem/Relevance: Measuring the risk of an asset and the economic forces driving the price of the risk is a challenging task that preoccupied the asset pricing literature for decades.
Rahul Roy, Santhakumar Shijin
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Forecasting the equity premium: Do deep neural network models work?
Modern Finance, 2023 This paper constructs deep neural network (DNN) models for equity-premium forecasting. We compare the forecasting performance of DNN models with that of ordinary least squares (OLS) and historical average (HA) models.
Xianzheng Zhou, Hui Zhou, Huaigang Long
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Understanding Stock Return Predictability [PDF]
SSRN Electronic Journal, 2006 Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This result holds up quite well in a number of robustness checks, and we show that the predictive power of the average IV might come from its close relation with systematic risk omitted from CAPM. First,
Hui Guo, Robert Savickas
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Competition, Markups, and Predictable Returns
The Review of Financial Studies, 2015 Abstract This paper jointly examines the link between competition and expected returns in the time series and in the cross-section. To this end, we build a general equilibrium model where markups vary because of firm entry with oligopolistic competition. When concentration is high, markups are more sensitive to entry risk.
Corhay, A, Kung, H, Schmid, L
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Forecasting Returns with Fundamentals-Removed Investor Sentiment
International Journal of Financial Studies, 2015 The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals.
Adam Stivers
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