Results 271 to 280 of about 1,316,614 (311)
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Journal of Asset Management, 2001
We identify characteristics of stocks in the Russell 1000 and 2000 that exhibit extreme (in the top and bottom 2.5 per cent) total returns over the next quarter. Using these characteristics, we develop a model to identify 50 (100) stocks as expected extreme performers in the Russell 1000 (2000).
D Glickman, AG DiRienzo, R Ochman
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We identify characteristics of stocks in the Russell 1000 and 2000 that exhibit extreme (in the top and bottom 2.5 per cent) total returns over the next quarter. Using these characteristics, we develop a model to identify 50 (100) stocks as expected extreme performers in the Russell 1000 (2000).
D Glickman, AG DiRienzo, R Ochman
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SSRN Electronic Journal, 2017
Contrary to the standard practice of using past average realized returns when testing asset pricing models, this paper analyzes the factor structure and the cross-sectional variability of expected returns. We show that the first two principal components explain 99.5% of the variability of (lower bound) expected returns.
Ana Gonzalez-Urteaga +2 more
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Contrary to the standard practice of using past average realized returns when testing asset pricing models, this paper analyzes the factor structure and the cross-sectional variability of expected returns. We show that the first two principal components explain 99.5% of the variability of (lower bound) expected returns.
Ana Gonzalez-Urteaga +2 more
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The Journal of Portfolio Management, 2008
In this article, the authors examine the issue of how social values affect economic values. Based on a small subset of the stock universe that has been generally associated with sin-seeking activities, such as alcohol consumption, adult services, gaming, tobacco, weapons, and biotech alterations, the authors find that a sin portfolio produced an annual
Frank J. Fabozzi +2 more
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In this article, the authors examine the issue of how social values affect economic values. Based on a small subset of the stock universe that has been generally associated with sin-seeking activities, such as alcohol consumption, adult services, gaming, tobacco, weapons, and biotech alterations, the authors find that a sin portfolio produced an annual
Frank J. Fabozzi +2 more
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Stock Returns, Expected Returns, and Real Activity
The Journal of Finance, 1990ABSTRACTMeasuring the total return variation explained by shocks to expected cash flows, time‐varying expected returns, and shocks to expected returns is one way to judge the rationality of stock prices. Variables that proxy for expected returns and expected‐return shocks capture 30% of the variance of annual NYSE value‐weighted returns.
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1999
There has been considerable debate in the recent finance literature over whether stock returns are predictable. A number of studies appear to provide empirical support for the use of the current dividend-price ratio, or dividend yield, as a measure of expected stock returns (see, for example, Rozeff, 1984; Campbell and Shiller, 1988b; Fama and French ...
Dimitris N. Politis +2 more
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There has been considerable debate in the recent finance literature over whether stock returns are predictable. A number of studies appear to provide empirical support for the use of the current dividend-price ratio, or dividend yield, as a measure of expected stock returns (see, for example, Rozeff, 1984; Campbell and Shiller, 1988b; Fama and French ...
Dimitris N. Politis +2 more
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SSRN Electronic Journal, 2013
Abstract We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data.
David Rapach, Guofu Zhou
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Abstract We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data.
David Rapach, Guofu Zhou
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Manager Sentiment and Stock Returns
SSRN Electronic Journal, 2017Abstract This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2s of 9.75% and 8.38%, respectively, which is far greater than the ...
Fuwei Jiang +3 more
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Nonlinear Dynamics and Stock Returns
The Journal of Business, 1989Simple deterministic systems are capable of generating chaotic output that "mimics" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series.
Scheinkman, Jose A, LeBaron, Blake
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SSRN Electronic Journal, 2017
Standard deviations and market-betas based on winsorized rates of return predict their own future realizations better than equivalents based on unwinsorized rates of returns. A good prescription is to winsorize rates of return around plus and minus 10- 15%, especially for samples of all CRSP stocks.
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Standard deviations and market-betas based on winsorized rates of return predict their own future realizations better than equivalents based on unwinsorized rates of returns. A good prescription is to winsorize rates of return around plus and minus 10- 15%, especially for samples of all CRSP stocks.
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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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