Results 1 - 10 of 2,768

Predictability of short-horizon returns in international equity markets

by Dilip K Patro , Yangru Wu - Journal of Empirical Finance , 2004
"... Abstract This paper examines the predictability of equity index returns for 18 developed countries. Based on the variance ratio test, the random walk hypothesis can be rejected at conventional significance levels for 11 countries with daily data and for 15 countries with weekly data. Monthly indice ..."
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Abstract This paper examines the predictability of equity index returns for 18 developed countries. Based on the variance ratio test, the random walk hypothesis can be rejected at conventional significance levels for 11 countries with daily data and for 15 countries with weekly data. Monthly

Using Daily Stock Returns: The Case of Event Studies

by Stephen J. Brown, Jerold B. Warner - Journal of Financial Economics , 1985
"... This paper examines properties of daily stock returns and how the particular characteristics of these data affect event study methodologies. Daily data generally present few difficulties for event studies. Standard procedures are typically well-specified even when special daily data characteris-tics ..."
Abstract - Cited by 805 (3 self) - Add to MetaCart
-tics are ignored. However, recognition of autocorrelation in daily excess returns and changes in their variance conditional on an event can sometimes be advantageous. In addition, tests ignoring cross-sectional dependence can be well-specified and have higher power than tests which account for potential dependence

Investing for the long run when returns are predictable

by Nicholas Barberis - Journal of Finance , 2000
"... We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty, th ..."
Abstract - Cited by 444 (0 self) - Add to MetaCart
. We approach this question from the perspective of horizon effects: Given the evidence of predictability in returns, should a long-horizon investor allocate his wealth differently from a short-horizon investor? The motivation for thinking about the problem in these terms is the classic work

1 Short-Horizon Return Predictability in International Equity Markets

by Abul Shamsuddin, Jae H. Kim
"... Please consult the published version for exact wording and pagination before finalizing any verbatim quotes. This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market developme ..."
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Please consult the published version for exact wording and pagination before finalizing any verbatim quotes. This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market

Firms as Buyers of Last Resort

by Harrison Hong, Jiang Wang, Jialin Yu - Journal of Financial Economics , 2008
"... Abstract: We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained ones) should have lower short-horizon return ..."
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Abstract: We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained ones) should have lower short-horizon

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

by Andrew W. Lo, A. Craig MacKinlay - REVIEW OF FINANCIAL STUDIES , 1988
"... In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962--1985) and for all subperiod for a variety of aggrega ..."
Abstract - Cited by 517 (17 self) - Add to MetaCart
In this article we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962--1985) and for all subperiod for a variety

Firms as buyers of last resort

by $ Harrison , Hong , Jiang Wang , Jialin Yu , 2008
"... Abstract We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained firms) should have lower short-horizon retur ..."
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Abstract We develop a model to explore the asset pricing implications of firms being buyers of last resort for their own stocks. Those with more ability to repurchase shares when prices drop far below fundamental value (i.e., less financially constrained firms) should have lower short-horizon

The Predictability of Short-Horizon Stock Returns

by Bryan Mase
"... Abstract. This examines the predictability of short-horizon stock returns in the UK. We show that the subsequent return reversal of previous extreme performers is unlikely to be caused by either leadlag effects or inventory imbalances, the most likely explanation being market overreaction. A market ..."
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Abstract. This examines the predictability of short-horizon stock returns in the UK. We show that the subsequent return reversal of previous extreme performers is unlikely to be caused by either leadlag effects or inventory imbalances, the most likely explanation being market overreaction. A market

The Variance Gamma Process and Option Pricing.

by Dilip B. Madan, Peter Carr, Eric C. Chang - European Finance Review , 1998
"... : A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional par ..."
Abstract - Cited by 365 (34 self) - Add to MetaCart
: A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional

Consumption, Aggregate Wealth, and Expected Stock Returns

by Martin Lettau, Sydney Ludvigson - THE JOURNAL OF FINANCE • VOL. LVI, NO. 3 • JUNE 2001 , 2001
"... This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption–wealth ratio are strong predictors of both real stock returns and excess returns over a Treas ..."
Abstract - Cited by 321 (23 self) - Add to MetaCart
Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption–wealth ratio forecast asset returns? We show
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