Results 271 to 280 of about 3,945,236 (308)
Dynamic relationships between industry returns and stock market returns [PDF]
North American Journal of Economics and Finance, 2013 Mei-Ping Chen +2 more
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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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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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TOWER BUILDING AND STOCK MARKET RETURNS
Journal of Financial Research, 2012AbstractConstruction starts of skyscrapers predict subsequent U.S. stock returns. The predictive ability exceeds that of alternatives such as the prevailing historical mean, predictions based on dividend ratios, and recently suggested combination forecasts.
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Devaluations and Emerging Stock Market Returns
Emerging Markets Review, 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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Analysis of Stock Market Returns
2000In this chapter we use our battery of nonlinearity tests to study the time series properties of growth rates in common stock prices at different levels of time aggregation. Financial economists call such growth rates “rates of return,” and express them as decimal fractions. We also look at the effect of “hard clipping” the data in order to separate the
Douglas M. Patterson, Richard A. Ashley
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Globalization and Stock Market Returns
Global Economy Journal, 2006With increasing globalization, to what extent do stock market returns reflect global or domestic risk factors? We find a significant relationship between stock market returns and the global market risk factor and macroeconomic factors respectively. In particular, global factors offer four times more explanatory power than domestic factors for developed
Lam, S.S., Ang, W.W.-L.
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Volume and stock returns in the Chinese market
International Review of Financial Analysis, 2023Yi Fang +3 more
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