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Regime switching in stock market returns [PDF]
Applied Financial Economics, 1997 An extension of Hamilton's Markov switching techniques (Hamilton, J. B., 1989, A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357–84) is used to describe and analyse stock market returns. Using new tests, very strong evidence is found for switching behaviour. A major innovation is to use a
Simon van Norden, Huntley Schaller
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Predicting Stock Returns in an Efficient Market
The Journal of Finance, 1990ABSTRACTAn intertemporal general equilibrium model relates financial asset returns to movements in aggregate output. The model is a standard neoclassical growth model with serial correlation in aggregate output. Changes in aggregate output lead to attempts by agents to smooth consumption, which affects the required rate of return on financial assets ...
Balvers, Ronald J +2 more
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Market Microstructure and Stock Return Predictions
Review of Financial Studies, 1994To what extent are the empirical regularities implied by market microstructure theories useful in predicting the short-run behavior of stock returns A two-equation econometric model of quote revisions and transaction returns is developed and used to identify the relative importance of different microstructure theories and to make predictions ...
Huang, Roger D, Stoll, Hans R
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Stock Market Returns and Annuitization
SSRN Electronic Journal, 2010I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock market returns decrease the likelihood of employees choosing an annuity over a lump sum, and vice versa.
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Entropy and predictability of stock market returns
Journal of Econometrics, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Maasoumi, Esfandiar, Racine, Jeff
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The Journal of Portfolio Management, 2000
In this article, the authors develop a two–step econometric model to explain and forecast stock market movements in seventeen countries. Their key assumption is that while a theory such as the dividend discount model is relevant to explain the long–run behavior of stock markets, short–run fluctuations are driven by variables that do not enter into the ...
Hélène Harasty, Jacques Roulet
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In this article, the authors develop a two–step econometric model to explain and forecast stock market movements in seventeen countries. Their key assumption is that while a theory such as the dividend discount model is relevant to explain the long–run behavior of stock markets, short–run fluctuations are driven by variables that do not enter into the ...
Hélène Harasty, Jacques Roulet
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Stock Market Returns and Inflation Forecasts
The Journal of Finance, 1983ABSTRACTThis study uses data from the Livingston survey of expectations to examine the Fisher hypothesis as a model relating expected stock returns and expected inflation. We show that the Fisher hypothesis holds much better for ex ante expectations than ex post realizations.
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The Efficiency of Marketing and Stock Returns
SSRN Electronic Journal, 2018A firm’s marketing efficiency, the ability to optimally deploy and integrate different marketing inputs to achieve high sales revenue at low cost, is persistent. High marketing efficiency predicts better future operating performance and stock returns, especially in competitive industries. A marketing efficiency-based long-short portfolio strategy earns
Tze Chuan Ang +3 more
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Devaluations and Emerging Stock Market Returns
SSRN Electronic Journal, 2002Stock returns over the two years surrounding 24 currency devaluations are examined. Using bootstrapped distributions, returns preceding the devaluation are shown to be significantly below normal, in both dollar and local currency terms. Most of the downturn, however, occurs well before the month of the devaluation.
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Returns of REITS and stock markets
Journal of Property Investment & Finance, 2010PurposeThe purpose of this paper is to provide an analysis of the dependence structure between returns from real estate investment trusts (REITS) and a stock market index. Further, the aim is to illustrate how copula approaches can be applied to model the complex dependence structure between the assets and for risk measurement of a portfolio containing
Ning Rong, Stefan Trück
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