Results 271 to 280 of about 44,427 (315)
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Applied Financial Economics, 2009
In this article, we investigate the January effect on stocks traded at New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations (NASDAQ). Unlike other empirical works we suggest expanding the model to cover several main effects.
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In this article, we investigate the January effect on stocks traded at New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations (NASDAQ). Unlike other empirical works we suggest expanding the model to cover several main effects.
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2020
The Stock Returns Project was to assist the research of our client, Ziqian Song, to analyze the language used in the financial news and social media discussions surrounding stock-related events, and to derive meaningful insights from this data. Our end goal was to build meaningful tools that can help the client analyze information surrounding the ...
Shi, Simon +4 more
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The Stock Returns Project was to assist the research of our client, Ziqian Song, to analyze the language used in the financial news and social media discussions surrounding stock-related events, and to derive meaningful insights from this data. Our end goal was to build meaningful tools that can help the client analyze information surrounding the ...
Shi, Simon +4 more
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The Journal of Wealth Management, 2006
To assess future returns an investor must understand the components on which returns are based. These components include the growth in the P/E ratio and the growth in real earnings. Our analysis shows that the growth rate in the P/E ratio and the growth rate in real earnings, as estimated over long periods and reported in the literature, have tended to
Charles P. Jones, Leonard L. Lundstrum
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To assess future returns an investor must understand the components on which returns are based. These components include the growth in the P/E ratio and the growth in real earnings. Our analysis shows that the growth rate in the P/E ratio and the growth rate in real earnings, as estimated over long periods and reported in the literature, have tended to
Charles P. Jones, Leonard L. Lundstrum
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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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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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