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Forecasting US Stock Returns [PDF]
SSRN Electronic Journal, 2018 We forecast quarterly US stock returns using 25 predictor variables. We consider a breadth of forecast methods and metrics, including bi- and multi-variate regressions, linear and non-linear models, rolling and recursive techniques, forecast combinations and statistical and economic evaluation.
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Financial constraints, stock liquidity, and stock returns [PDF]
Journal of International Financial Markets, Institutions and Money, 2019 Abstract This paper examines stock liquidity in explaining the mixed relations between financial constraints and stock returns and the pricing of stock liquidity across financially constrained and unconstrained firms. We find a negative relation in liquid portfolios and a positive relation in illiquid portfolios.
Li, Xiafei, Luo, Di
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Binus Business Review, 2015 Stock market generally has the stock price index that measures the performance of stock trading, the Indonesia Stock Exchange has a stock price index that is widely known as Jakarta Composite Index (IHSG).
Mulyono Mulyono
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THE INFLUENCE OF STOCK CHARACTERISTICS ON RETURN IN CONSUMER GOODS INDUSTRY COMPANIES
Manajemen dan Bisnis, 2018 This study aims to determine the influence of stock characteristics with stock returns on consumer goods industry companies listed on the Indonesian Stock Exchange period 2011- 2015.
Ivan Alexander Nanlohy +2 more
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Journal of Business & Banking, 2017 The purpose of investors to invest their fund is to get the stock return. Therefore, they need to understand the company's financial performance and macro-economic factors that can affect the acquisition of stock returns.
Soni Firmansyah, Linda Purnamasari
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Analyzing the Effect of Capital Gains and Stock Liquidity on Stock Expected Return [PDF]
International Journal of Management, Accounting and Economics, 2017 This research investigated the effect of capital gains and stock liquidity on stock expected return. The stock expected return is measured based on capital assets pricing model.
Mohammad Hassani, Narges Nabizadeh
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Jurnal Akuntansi: Kajian Ilmiah Akuntansi, 2022 This study aims to determine the effect of Intellectual Capital and Insider Ownership on Stock Return, and determine the effect of Dividend Policy in moderating the relationship beetween Intellectual Capital and Insider Ownership on Stock Return in LQ45 ...
Akhmad Sigit Adiwibowo +2 more
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Fundamentals and Stock Returns in Japan
The Journal of Finance, 1991 ABSTRACTThis paper relates cross‐sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market ratio, and cash flow yield. Alternative statistical specifications and various estimation methods are applied to a comprehensive, high‐quality data set that extends from 1971 to 1988 ...
Chan, Louis K. C. +2 more
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Comparing the Impact of Global Metals Price Index on Stock Returns of Base Metals and Extraction of Metal Minerals Group: Fixed Transition Probabilities Approach of Markov Switching Method [PDF]
مدلسازی اقتصادسنجی, 2019 The purpose of this study is to compare the impact of Global Metals Price Index on the stock returns of Base Metals group and Extraction of Metal Minerals group in the Tehran Stock Exchange.
Mahdi Shahrazi, Saman Ghaderi
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Investor Recognition and Stock Returns [PDF]
SSRN Electronic Journal, 2005 It is well established that investment fundamentals, such as earnings and cash flows, can explain only a small proportion of the variation in stock returns. We find that investor recognition of a firm’s stock can explain relatively more of the variation in stock returns.
Reuven Lehavy, Richard G. Sloan
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