Author: Min Liu
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 72
Book Description
Conditioning Variables and the Empirical Test of the Stock Returns in US Market
Author: Min Liu
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 72
Book Description
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 72
Book Description
Do Macroeconomic Variables have an Effect on the US Stock Market?
Author: Dennis Sauert
Publisher: GRIN Verlag
ISBN: 3640720210
Category : Business & Economics
Languages : en
Pages : 27
Book Description
Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Publisher: GRIN Verlag
ISBN: 3640720210
Category : Business & Economics
Languages : en
Pages : 27
Book Description
Seminar paper from the year 2010 in the subject Economics - Case Scenarios, grade: 1.0, Berlin School of Economics, language: English, abstract: The objective of this paper is to examine whether the unanticipated change of specific macroeconomic variables influences the US stock market represented by the S&P 500 using monthly data from 1986 to 2007. Thereby, the performance of the arbitrage pricing theory of Ross (cp. Ross, S., 1976) shall be studied. To explain the behavior of the US stock market return the paper contains the five predefined variables consumer price index (CPI), industrial production index (IPT), money stock M1 (M1), total consumer credit outstanding (TCC) and the term structure of interest rates (Term) which are approximately similar to those variables used by Ross (cp. Chen N. F. et al., 1986, pp. 383-403). Applying the OLS method, it was found that CPI, IPT and Term are negatively related to the US stock return. It was also detected that M1 affects the stock market lagging 8 months and 12 months. However, the test statistics showed that TCC has rather no impact on the US stock market return. To ensure that the ultimate results are not spurious, care will be taken in regards to autocorrelation, multicollinearity, serial correlation as well as heteroskedasticity.
Conditioning Variables and the Cross-section of Stock Returns
Author: Wayne E. Ferson
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 45
Book Description
Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are important, over and the above the variables advocated by Fama and French (1993) in their three factor model, ' and also the four factors of Elton, Gruber and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The lagged variables reveal information about the cross-section of expected returns that is not captured by popular asset pricing factors. These results carry implications for risk analysis, performance measurement, cost-of-capital calculations and other applications
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 45
Book Description
Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are important, over and the above the variables advocated by Fama and French (1993) in their three factor model, ' and also the four factors of Elton, Gruber and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The lagged variables reveal information about the cross-section of expected returns that is not captured by popular asset pricing factors. These results carry implications for risk analysis, performance measurement, cost-of-capital calculations and other applications
Variables that Explain Stock Returns
Author: Clifford Scott Asness
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 330
Book Description
Publisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 330
Book Description
Conditioning Variables and the Cross-Section of Stock Returns
Author: Wayne E. Ferson
Publisher:
ISBN:
Category :
Languages : en
Pages : 60
Book Description
Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are important, over and the above the variables advocated by Fama and French (1993) in their three factor model,' and also the four factors of Elton, Gruber and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The lagged variables reveal information about the cross-section of expected returns that is not captured by popular asset pricing factors. These results carry implications for risk analysis, performance measurement, cost-of-capital calculations and other applications.
Publisher:
ISBN:
Category :
Languages : en
Pages : 60
Book Description
Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are important, over and the above the variables advocated by Fama and French (1993) in their three factor model,' and also the four factors of Elton, Gruber and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The lagged variables reveal information about the cross-section of expected returns that is not captured by popular asset pricing factors. These results carry implications for risk analysis, performance measurement, cost-of-capital calculations and other applications.
An Empirical Test of the Perfect Market Hypothesis
Author: Peter Patrick Kozel
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 514
Book Description
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 514
Book Description
An Empirical Analysis of Stock Returns and Volume
Author: Rochelle L. Antoniewicz
Publisher:
ISBN:
Category :
Languages : en
Pages : 352
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 352
Book Description
Empirical Tests Using Daily Preferred Stock Returns
Author: Scott E. Stickel
Publisher:
ISBN:
Category : Preferred stocks
Languages : en
Pages : 190
Book Description
Publisher:
ISBN:
Category : Preferred stocks
Languages : en
Pages : 190
Book Description
On the Predictability of Stock Returns
Author: Shmuel Kandel
Publisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 50
Book Description
The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
Publisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 50
Book Description
The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
An Empirical Analysis of the Macroeconomic Variables that Affect Stock Market Returns
Author: Cyril May
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 48
Book Description
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 48
Book Description