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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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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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Dispersion of opinion and stock returns
Journal of Financial Markets, 2005Abstract We use a panel of more than 100,000 investor accounts in US stocks over the period 1991–1995 to construct an investor-based measure of dispersion of opinion, unlike the analyst-based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors hypothesis and the uncertainty/asymmetric ...
WILLIAM N. GOETZMANN, MASSIMO MASSA
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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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Stock Return Autocorrelations and Expected Option Returns
Management ScienceWe show that the return autocorrelation of underlying stock is an important determinant of expected equity option returns. Using an extended Black-Scholes model incorporating the presence of stock return autocorrelation, we demonstrate that expected returns of both call and put options are increasing in the return autocorrelation coefficient of the ...
Yoontae Jeon, Raymond Kan, Gang Li
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SSRN Electronic Journal, 2015
The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and "times the market" balancing portfolios on the basis of ...
Borri, Nicola, Cagnazzo, Alberto
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The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and "times the market" balancing portfolios on the basis of ...
Borri, Nicola, Cagnazzo, Alberto
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Employee Sentiment and Stock Returns
SSRN Electronic Journal, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Jian +3 more
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Stock-Bond Return Dynamics and the Expected Country Stock Returns
SSRN Electronic JournalStock and bond prices of a country move together with increasing country-specific risk. Bonds effectively hedge growth expectation risk when country-specific risk is low, resulting in a negative stock-bond correlation. However, as country-specific risk increases, hedging is less effective because (1) rising domestic prices tend to reduce a country’s ...
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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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