A Test of Return Predictability in the Vietnamese Stock Market
نویسندگان
چکیده
منابع مشابه
Dynamic return predictability in the Russian stock market
Article history: This paper explores whether the relevance of a conditional multifacReceived 12 July 2012 tor model and autocorrelation in predicting the Russian aggregate Received in revised form 2 October 2012 stock return fluctuates over time. The source of return predictability is Accepted 16 December 2012 shown to vary considerably with information flow. In general, Available online 22 Dec...
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انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...
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We examine predictive return regressions from a new angle. We ask what observable univariate properties of returns tell us about the “predictive space” that defines the true predictive model: the triplet ¡ λ,R2 x, ρ ¢ , where λ is the predictor’s persistence, R2 x is the predictive R-squared, and ρ is the "Stambaugh Correlation" (between innovations in the predictive system). When returns are n...
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The behavioral financial perspective shows some changes in the price of securities have no fundamental reason and depend on the irrational behaviors of investors as measured by the investor sentiment. Investor sentiment plays an important role in the volatility of securities prices and returns. At first, by finding the thresholds and testing these points statistically, we showed that the invest...
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ژورنال
عنوان ژورنال: International Journal of Financial Research
سال: 2020
ISSN: 1923-4031,1923-4023
DOI: 10.5430/ijfr.v11n2p390