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Author: Arthur Ritter
Publisher: GRIN Verlag
ISBN: 3656968926
Category : Business & Economics
Languages : en
Pages : 21
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Book Description
Research Paper (postgraduate) from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.
Author: Arthur Ritter
Publisher: GRIN Verlag
ISBN: 3656968926
Category : Business & Economics
Languages : en
Pages : 21
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Book Description
Research Paper (postgraduate) from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.
Author: Hui Guo
Publisher:
ISBN:
Category : Rate of return
Languages : en
Pages : 57
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Book Description
Author: John H. Cochrane
Publisher: Princeton University Press
ISBN: 1400829135
Category : Business & Economics
Languages : en
Pages : 560
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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.
Author: Anselm Rogowski
Publisher:
ISBN: 9783656968931
Category :
Languages : en
Pages : 20
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Book Description
Research Paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 17 (1,3), University of St Andrews (School of Management), course: Investment and Portfolio Management, language: English, abstract: Empirical evidence of stock return predictability obtained by financial ratios or macroeconomic factors has received substantial attention and remains a controversial topic to date. This is no surprise given that the existence of return predictability is not only of interest to practitioners but also introduces severe implications for financial models of risk and return. Founded on the assumption of efficient capital markets, research on capital asset pricing models has instigated this emergence of stock return predictability factors. Analysing these factors categorically, this paper will provide a balanced discussion of advocates as well as sceptics of stock return predictability. This essay will commence by firstly outlining the fundamental assumptions of an efficient capital market and its implications for return predictability. Subsequently, a thorough focus will be placed on the most significant predictability factors, including fundamental financial ratios and macroeconomic indicators as well as the validity of sampling methods used to attain return forecasts. Lastly this essay will reflect on the findings while proposing areas of further research.
Author: Graham Elliott
Publisher: Elsevier
ISBN: 0444627405
Category : Business & Economics
Languages : en
Pages : 667
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Book Description
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919
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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.
Author: Justus Heuer
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: David G McMillan
Publisher: Springer
ISBN: 3319690086
Category : Business & Economics
Languages : en
Pages : 141
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Book Description
This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.
Author: Farhang Farazmand
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
Investors' views, expressed in individual securities, when averaged are informative about the future path of aggregate market returns. Our predictor of the market, PC-OI, is an average of traders' positions in options on individual stocks, formed simply by summing the put open interest across all stocks and dividing by the summed call open interest. Predictability is strongest when the measure is constructed from a subset of stocks subject to arbitrage constraints. The measure has strong in-sample and out-of-sample predictive power, and creates substantial utility gains for a mean-variance investor. The predictive power is not subsumed by the host of existing predictors in the literature. A trading strategy using our measure would have made up to 208% over our sample period, compared to a cumulative market return of 90%.
Author: Nancy Mather
Publisher: John Wiley & Sons
ISBN: 1118860748
Category : Psychology
Languages : en
Pages : 617
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Book Description
Includes online access to new, customizable WJ IV score tables, graphs, and forms for clinicians Woodcock-Johnson IV: Reports, Recommendations, and Strategies offers psychologists, clinicians, and educators an essential resource for preparing and writing psychological and educational reports after administering the Woodcock-Johnson IV. Written by Drs. Nancy Mather and Lynne E. Jaffe, this text enhances comprehension and use of this instrument and its many interpretive features. This book offers helpful information for understanding and using the WJ IV scores, provides tips to facilitate interpretation of test results, and includes sample diagnostic reports of students with various educational needs from kindergarten to the postsecondary level. The book also provides a wide variety of recommendations for cognitive abilities; oral language; and the achievement areas of reading, written language, and mathematics. It also provides guidelines for evaluators and recommendations focused on special populations, such as sensory impairments, autism, English Language Learners, and gifted and twice exceptional students, as well as recommendations for the use of assistive technology. The final section provides descriptions of the academic and behavioral strategies mentioned in the reports and recommendations. The unique access code included with each book allows access to downloadable, easy-to-customize score tables, graphs, and forms. This essential guide Facilitates the use and interpretation of the WJ IV Tests of Cognitive Abilities, Tests of Oral Language, and Tests of Achievement Explains scores and various interpretive features Offers a variety of types of diagnostic reports Provides a wide variety of educational recommendations and evidence-based strategies
