Author: Clive William John Granger
Publisher:
ISBN:
Category : Random walks (Mathematics).
Languages : en
Pages : 346
Book Description
Predictability of Stock Market Prices
Author: Clive William John Granger
Publisher:
ISBN:
Category : Random walks (Mathematics).
Languages : en
Pages : 346
Book Description
Publisher:
ISBN:
Category : Random walks (Mathematics).
Languages : en
Pages : 346
Book Description
On the Predictability of Stock Returns
Author: Shmuel Kandel (deceased)
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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 :
Languages : en
Pages : 41
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.
Complex Systems in Finance and Econometrics
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
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.
The Predictability of Stock Returns
Author: Zhong-guo Zhou
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 252
Book Description
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 252
Book Description
Three Essays on the Predictability of Stock Returns
Author: Amit Goyal
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 374
Book Description
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 374
Book Description
On the Predictability of Stock Returns in Real Time
Author: Michael J. Cooper
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
Researchers have documented an abundance of evidence that stock returns are predictable ex post. We address in this study whether the cross section of stock returns is predictable ex ante. We ask if a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to forecast stock returns during the 1974 to 1997 period. Using a recursive out-of-sample method, we find that the market was difficult to beat in real time. Our findings suggest that the current notion of predictability in the literature is exaggerated.
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
Book Description
Researchers have documented an abundance of evidence that stock returns are predictable ex post. We address in this study whether the cross section of stock returns is predictable ex ante. We ask if a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to forecast stock returns during the 1974 to 1997 period. Using a recursive out-of-sample method, we find that the market was difficult to beat in real time. Our findings suggest that the current notion of predictability in the literature is exaggerated.
Asset Pricing
Author: John H. Cochrane
Publisher: Princeton University Press
ISBN: 1400829135
Category : Business & Economics
Languages : en
Pages : 560
Book Description
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Publisher: Princeton University Press
ISBN: 1400829135
Category : Business & Economics
Languages : en
Pages : 560
Book Description
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
On the Predictability of Stock Returns: an Asset-allocation Perpective
Author: Shmuel Kandel
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
Book Description
Predictability of Stock Returns
Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 26
Book Description
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 26
Book Description