On the Correlation and Predictability of Intraday Stock Returns in the United States and Japan PDF Download
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Author: Wen-Ling Lin
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
Author: Wen-Ling Lin
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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Book Description
Author: John Y. Campbell
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 122
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Author: John Y. Campbell
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
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Author: Kent G. Becker
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Author: Andreas Humpe
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
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Using smooth transition regression model analysis, we examine the non-linear predictability of Japanese and US stock market returns by a set of macroeconomic variables between 1981 and 2012. The theoretical basis for investigating non-linear behavior in stock returns can be based on the interaction between noise traders and arbitrageurs or behavioral finance theories of non-linear risk aversion. As heterogeneity in investors' beliefs gives reason to suspect a smooth transition between extremes, rather than abrupt, a smooth transition regression model is estimated. Our findings support differences in non-linearity of stock returns in Japan and the US that might be linked to different shareownership of the Japanese stock market compared to the US. In addition, differences in the legal system might have some influence over our findings as well. The US results also suggest greater heterogeneity in the relationship between stock returns and macro variables in the US data relative to the Japanese data. The reasons behind the differences in our results, both between countries and between regimes are probably due to the different economic conditions faced by Japan and the US over our sample, to the possible existence of bubbles in the data and to investor behavior consistent with 'behavioral finance' theories of investor behaviour.
Author: Pascal Nguyen
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
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In this paper, I analyze the relationship between financial statements information and stock returns for firms listed on the Tokyo Stock Exchange. Firm-specific information is captured by way of score indicative of the firm's cash flow generating potential. The results show that score-based portfolio strategies can produce significant abnormal returns over a 10-year sample period. The excess return of high-score portfolios does not appear to result from a higher exposure to risk factors. The predictability of cross-section returns does not derive either from price momentum. I find that large stocks offer little profits to score-based portfolio strategies. Most of the abnormal returns are concentrated on small firms. The evidence is strongly supportive of a market underreaction to the financial information released by smaller lightly researched firms.
Author:
Publisher:
ISBN:
Category : Asia
Languages : en
Pages : 300
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Author: Kee-hong Bae
Publisher:
ISBN:
Category : Investments, Foreign
Languages : en
Pages : 32
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Author:
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ISBN:
Category : Social sciences
Languages : en
Pages : 716
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Author: Dexiang Mei
Publisher: Scientific Research Publishing, Inc. USA
ISBN: 164997048X
Category : Business & Economics
Languages : en
Pages : 139
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Book Description
The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.
