We seek to forecast sector stock returns using established predictor variables. Existing empirical evidence focuses on market level data, and thus, data provide fertile ground for research. In addition in-sample predictive regressions, we consider recursive rolling forecasts whether such can be used successfully in a rotation portfolio. The results ten sectors eleven variables highlight that tw...

This paper constructs a new measure of attention allocation by local investors relative to nonlocals using aggregate search volume from Google. We first present conceptual framework in which optimally choose focus their on stocks when they receive private news, leading an asymmetric between and nonlocal investors. Consistent with the main prediction this framework, we find that firms attracting...

Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other inves...

This paper considers a variety of econometric models for the joint distribution of stock and bond returns in the presence of regime switching dynamics. While simple twoor three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with regimes characterized as crash, slow growth, bull and bull burst states is required to capture the joint di...

Are Stock Returns Different over Weekends? A Jump Diffusion Analysis of the " Weekend Effect " T he distribution of returns on common stocks is, arguably, one of the most widely studied financial market characteristics. Among the questions addressed by these studies are the following: Is the return on common stocks normally distributed, as much finance theory assumes? How many stocks should be ...

Stock market volatility is the systematic risk faced by investors who hold a market portfolio (e.g., a stock market index fund). Schwert (1989b) has undertaken an extensive study of stock market volatility, using historical data back to the 19th century. Some of his major findings are illustrated in Figure 1, which plots quarterly stock market volatility for the post-World War II period.1 The f...

aaccording to the trade-off theory, firm managers consider the transaction and precautionary motives to determine the optimal level of cash by comparing the benefits and costs of cash holdings. the purpose of this paper is to examine the impact of deviation from expected optimal cash on future stock returns among irans’s listed companies (tehran stock exchange). the analyses are performed by us...

This is an investigation of forecasting stock returns using genetic programming. We first test the hypothesis that genetic programming is equally successful in predicting series produced by data generating processes of different structural complexity. After rejecting the hypothesis, we measure the complexity, of thirty-two time series representing four different frequencies of eight stock retur...

We examine the announcement period stock returns for 179 over-the-counter (OTC) firms that issue common stock to reduce nonconvertible debt. We find that small OTC firms experience returns that are significantly more negative than large OTC firms. Regression tests reveal that firm size is a significant factor in accounting for stock returns. Other tests establish firm size as a dominant effect....