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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, 2005
Abstract 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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Employee Sentiment and Stock Returns

SSRN Electronic Journal, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Jian, Tang, Guohao, Yao, Jiaquan, Zhou, Guofu   +3 more
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Stock Return Autocorrelations and Expected Option Returns

Management Science
We 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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Chasing Stock Market Returns

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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Stock-Bond Return Dynamics and the Expected Country Stock Returns

SSRN Electronic Journal
Stock 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, 1990
ABSTRACTMeasuring 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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Individual Investors and Stock Returns

The Journal of Investing, 2016
This article examines the relationship between the S&P 500 stock index and the S&P 500 sentiment index compiled by the American Association of Individual Investors. The empirical investigation is based on ordinary least squares and quantile regressions during the period from 1987 to 2015. The main finding supports the idea that the individual investors
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Stock Returns

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, Ray, Sayan, Sood, Yannik, Heck, David, Nguyen, Charles   +4 more
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Real Stock Returns and Inflation

The Journal of Finance, 1984
ABSTRACTThis paper develops the relation between the real rate of return on the stock market and changes in the price level using a multiperiod economy with production. The observed relation between real ex post stock returns and inflation is shown to be consistent with equilibrium in an economy with rational investors.
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