This paper evaluates the predictability of monthly stock return using out-of-sample interval forecasts. Past studies exclusively use point forecasts, which are limited value since they carry no information about intrinsic predictive uncertainty. We compare empirical performance alternative forecasts for generated from a naïve model, univariate autoregressive and multivariate model (predictive r...

in this research, role of accruals in elaboration of quality of earning of the companies accepted in mumbai stock exchange has been studied and relationship between quality of earning through accruals and its constituents and abnormal stock return has been studied. the studied sample includes 35 companies in group a of mumbai stock exchange in 2009-2013.fordata analysisandhypothesistesting mult...

The goal of this article is an estimate of the objective forward-looking U.S. equity risk premium relative to bonds through history—specifically, since 1802. For correct evaluation, such a complex topic requires several careful steps: To gauge the risk premium for stocks relative to bonds, we need an expected real stock return and an expected real bond return. To gauge the expected real bond re...

stock selection criteria play a key role in contrarian portfolio construction. the usual approach is applying cumulative return as stock selection criteria however applying this criterion leads to ranking stocks without considering investment risk. in this study, we analyze contrarian strategies that are based on reward–risk stock selection criteria in contrast to ordinary contrarian strategies...

In this research, role of accruals in elaboration of quality of earning of the companies accepted in Mumbai Stock Exchange has been studied and relationship between quality of earning through accruals and its constituents and abnormal stock return has been studied. The studied sample includes 35 companies in group A of Mumbai Stock Exchange in 2009-2013.Fordata analysisandhypothesistesting mult...

One of the main concerns of investors is the evaluation of the return on investment, which is conducted using various models such as the CAPM (single-factor model), Fama-French three/five-factor models, and Roy and Shijin’s six-factor model and other models known as multi-factor models. Despite the widespread use of these models, their major drawbacks include sensitivity to unexpected changes, ...

Stock trend forecasting is a one of the main factors in choosing the best investment, hence prediction and comparison of different firms’ stock trend is one method for improving investment process. Stockholders need information for forecasting firm’s stock trend in order to make decision about firms’ stock trading. In this study stock trend, forecasting performs by data mining algorithm. It sho...