Results 271 to 280 of about 133,716 (312)
Are Indian stock returns predictable? [PDF]
Journal of Banking & Finance, 2015 In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous.
Deepa, Paresh K Narayan
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The Distribution of Stock Returns
Journal of the American Statistical Association, 1972A detailed examination is made of the distribution of stock returns following reports that the distribution is best described by the symmetric stable class of distributions. The distributions are shown to be “fat-tailed” relative to the normal distribution but a number of properties inconsistent with the stable hypothesis are noted.
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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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Stock returns and inflation in Pakistan [PDF]
Economic Modelling, 2015 Abstract The nexus between stock returns and inflation is assessed for Pakistan using the methodology of frequency based causality and continuous wavelet transform over a long sample period 1961:M07–2012:M02. The preliminary investigation using the frequency based causality suggests interdependence of stock return and inflation.
Tiwari, Aviral Kumar +4 more
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Disagreement, Underreaction, and Stock Returns
Management Science, 2017We explore analysts’ earnings forecast data to improve on one popular disagreement measure—the analyst forecast dispersion measure—proposed by Diether et al. [Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57:2113–2141].
Ling Cen, K. C. John Wei, Liyan Yang
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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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Music sentiment and stock returns
Economics Letters, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Garel, Alexandre +2 more
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Models of Stock Returns--A Comparison
The Journal of Finance, 1984ABSTRACTIn this paper a discrete mixture of normal distributions is proposed to explain the observed significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates of returns for a sample of common stocks and indexes.
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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 Volatility of Stock Investor Returns
SSRN Electronic Journal, 2020The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We provide comprehensive evidence on the volatility of investor returns using individual stocks, portfolios of stocks, and market indexes from the U.S.
Ilia D. Dichev, Xin Zheng
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