It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains...

Existing studies show that firm asset and investment growth predict cross-sectional stock returns. Firms that shrink their assets or investments subsequently earn higher returns than firms that expand their assets or investments. I show that the superior returns of the low asset and investment growth portfolios are due to the omission of delisting returns in CRSP monthly stock return file and t...

the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

Understanding the impact of external shocks on stock markets returns and volatility is crucial for market participants as volatility is synonymous with risk. The focus of this paper is to determine whether the US monetary policy decisions influence the stock market returns and volatility in Egypt, Israel, and Turkey. Efficient markets react to new information; hence a greater response would be ...

It is well known that in the postwar period stock returns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20—year Treasury bonds, while risk premia on Treasury bills move somewhat independe...

this paper investigates the asymmetry in volatility of returns for the iranian stock market using the daily closing values of the tehran exchange price index (tepix) covering the period from march 25, 2001 to july 25, 2012, with a total of 2743 observations. to this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric garch (1,1) model. the...

We explore the analyst earnings forecasts data to study the interactive effect between disagreement and underreact to earnings news on asset prices. We find that (1) changes in the mean of forecasted earnings as an underreaction measure positively predict future returns, that (2) changes in the standard deviation of forecasted earnings as a disagreement measure negatively predict future returns...

Firms central in the interlocking boardroom network earn superior risk-adjusted stock returns. Initiating a long position in the most central firms and a short position in the least central firms earns an average risk-adjusted return of 4.68% per year. Firms with central boards also experience higher future growth in return-on-assets (ROA) with analysts failing to fully reflect this information...

As the capital markets evolve and expand, more and more data is being created daily. This explosion of data has made the flow of information much more efficient. As market participants act on this information flow, it drives market prices to more efficient values, . One of the driving forces in this march to efficiency, is the application of various algorithmic learning techniques on both marke...

ew York vanished y of timeeir peaks ting in a reasingly We analyse the temporal changes in the cross-correlations of returns on the N Stock Exchange. We show that lead–lag relationships between daily returns of stocks in less than 20 years. We have found that even for high-frequency data the asymmetr dependent cross-correlation functions has a decreasing tendency, the position of th is shifted ...