Does Academic Research Destroy Stock Return Predictability?*
... search engines such as Econlit by searching for articles in finance and accounting journals with words such as “cross-section.” Some studies are located from reference lists in books or other papers. Lastly, in the process of writing this paper, we contacted other finance professors and inquired ab ...
... search engines such as Econlit by searching for articles in finance and accounting journals with words such as “cross-section.” Some studies are located from reference lists in books or other papers. Lastly, in the process of writing this paper, we contacted other finance professors and inquired ab ...
WP SES
... and several authors point out that technical trading profits are more difficult to find over recent periods than in the more distant past. ...
... and several authors point out that technical trading profits are more difficult to find over recent periods than in the more distant past. ...
SAST - SA Legg Mason BW Large Cap Value
... SunAmerica Series Trust’s Statutory Prospectus and Statement of Additional Information dated May 1, 2017, and the most recent shareholder reports are incorporated into and made part of this Summary Prospectus by reference. The Portfolio is offered only to the separate accounts of certain affiliated ...
... SunAmerica Series Trust’s Statutory Prospectus and Statement of Additional Information dated May 1, 2017, and the most recent shareholder reports are incorporated into and made part of this Summary Prospectus by reference. The Portfolio is offered only to the separate accounts of certain affiliated ...
Impartial Investing - University of Michigan Law School
... These compensating distributions must, however, reflect the nature of the investment plan rather than a strategy that systematically favors one beneficiary, since neither the Uniform Trust Code nor the Uniform Principal and Income Act permits trustees to defy the terms of the trust by favoring one b ...
... These compensating distributions must, however, reflect the nature of the investment plan rather than a strategy that systematically favors one beneficiary, since neither the Uniform Trust Code nor the Uniform Principal and Income Act permits trustees to defy the terms of the trust by favoring one b ...
PL00142-1055_Exact Market Cash Fund PDS
... All investments carry risk. The value of your investment may fall for a number of reasons, which means that you may receive back less than your original investment when you withdraw or you may not receive income over a given timeframe. Before making an investment decision, it’s important to understa ...
... All investments carry risk. The value of your investment may fall for a number of reasons, which means that you may receive back less than your original investment when you withdraw or you may not receive income over a given timeframe. Before making an investment decision, it’s important to understa ...
Corporate Finance (Book 1)
... • The primary concern is the firm’s ability to pay its bills in the short term without undue stress • Efficiency or activity ratios measure how efficiently and intensively a firm uses its assets to generate sales • Profitability ratios measure how efficiently a firm uses its assets and how efficient ...
... • The primary concern is the firm’s ability to pay its bills in the short term without undue stress • Efficiency or activity ratios measure how efficiently and intensively a firm uses its assets to generate sales • Profitability ratios measure how efficiently a firm uses its assets and how efficient ...
Contagion and competitive intra-industry effects of
... On average, the announcement of a Chapter 11 bankruptcy filing has a strong negative effect on the value of the filing firm’s stock.’ Presumably, the stock price falls because of an increase in the present value of bankruptcy costs and because the bankruptcy announcement provides information about t ...
... On average, the announcement of a Chapter 11 bankruptcy filing has a strong negative effect on the value of the filing firm’s stock.’ Presumably, the stock price falls because of an increase in the present value of bankruptcy costs and because the bankruptcy announcement provides information about t ...
Investor Scale and Performance in Private Equity Investments
... invested capital (including new investments). Performance based on NAVs will understate performance when a program first begins. Lacking fund level data, we cannot control directly for vintage years effects or breakdown returns separately for venture and buyout fund programs. Given these data limit ...
... invested capital (including new investments). Performance based on NAVs will understate performance when a program first begins. Lacking fund level data, we cannot control directly for vintage years effects or breakdown returns separately for venture and buyout fund programs. Given these data limit ...
Economic Value of Stock Return Forecasts: An
... strategy. An extended version based on this paper with the application on the UK stock returns has also been done by Pesaran and Timmermann (2000). The investors, in these papers, commonly switch their portfolios between one stock market portfolio and a shortterm treasury bill in their local develop ...
... strategy. An extended version based on this paper with the application on the UK stock returns has also been done by Pesaran and Timmermann (2000). The investors, in these papers, commonly switch their portfolios between one stock market portfolio and a shortterm treasury bill in their local develop ...
estimating terminal value
... 3. What currency is being used to estimate cash flows and discount rates in the valuation? The limits on stable growth will vary depending upon what currency is used in the valuation. If a high-inflation currency is used to estimate cash flows and discount rates, the limits on stable growth will be ...
... 3. What currency is being used to estimate cash flows and discount rates in the valuation? The limits on stable growth will vary depending upon what currency is used in the valuation. If a high-inflation currency is used to estimate cash flows and discount rates, the limits on stable growth will be ...
How important is economic news for bond markets?
... To what extent can price changes in financial markets be attributed to the arrival of new information? Understanding what drives asset prices is of key importance in financial economics. We expect asset prices react to macroeconomic news announcements or the outcome of FOMC meetings implying that in ...
... To what extent can price changes in financial markets be attributed to the arrival of new information? Understanding what drives asset prices is of key importance in financial economics. We expect asset prices react to macroeconomic news announcements or the outcome of FOMC meetings implying that in ...
An Expanded Study on the Stock Market Temperature
... Recently, there are four main studies linking the stock market return anomaly to naturerelated variables such as the amount of sunshine, the length of day light and temperature.1 In particular, Saunders (1993) is the first study which examines the relationship between stock market returns and the a ...
... Recently, there are four main studies linking the stock market return anomaly to naturerelated variables such as the amount of sunshine, the length of day light and temperature.1 In particular, Saunders (1993) is the first study which examines the relationship between stock market returns and the a ...
Liquidity risk, Leverage and Long
... Ritter (1991) and Loughran and Ritter (1995) report the cross-sectional average of compounded (holding period) returns, also referred to as “average buy-and-hold return” (BHR). In this section, we replicate their measure using our sample. This serves to establish whether their finding of ...
... Ritter (1991) and Loughran and Ritter (1995) report the cross-sectional average of compounded (holding period) returns, also referred to as “average buy-and-hold return” (BHR). In this section, we replicate their measure using our sample. This serves to establish whether their finding of ...
Asymmetric Timely Loss Recognition, Earnings Smoothness and
... smoothing proxy by 25%. I employ the Khan & Watts CSCORE to proxy for firm’s expected degree of conservatism, which should be associated with the likelihood/magnitude of loss recognition given that an economic loss has occurred. I find that moving from the bottom to top decile of CSCORE decreases th ...
... smoothing proxy by 25%. I employ the Khan & Watts CSCORE to proxy for firm’s expected degree of conservatism, which should be associated with the likelihood/magnitude of loss recognition given that an economic loss has occurred. I find that moving from the bottom to top decile of CSCORE decreases th ...
Focus your aim - JP Morgan Asset Management
... The three types of participants: • Participants who struggle with granular investment choices and prefer professional management • Participants who value professional oversight but prefer a level of control • Self-directed participants who are well versed in investing and prefer significant flexi ...
... The three types of participants: • Participants who struggle with granular investment choices and prefer professional management • Participants who value professional oversight but prefer a level of control • Self-directed participants who are well versed in investing and prefer significant flexi ...
Are European equity markets efficient? New
... This paper reports tests for the validity of the EMH for eight stock markets that are believed to be at different stages of development. We examine stock market indices comprising of large numbers of stocks. Predictability of returns owing to thin trading is unlikely. Rejection of the null hypothesi ...
... This paper reports tests for the validity of the EMH for eight stock markets that are believed to be at different stages of development. We examine stock market indices comprising of large numbers of stocks. Predictability of returns owing to thin trading is unlikely. Rejection of the null hypothesi ...
documento de trabajo 99-05
... percent, which is about 28.4 percent at an annual rate2. All t-statistics reject the null hypothesis that the returns equal the unconditional returns (0.039 percent from Table 1). For the sells, all means returns are negative, with an average daily return of -0.06 percent, or -16.2 on an annualized ...
... percent, which is about 28.4 percent at an annual rate2. All t-statistics reject the null hypothesis that the returns equal the unconditional returns (0.039 percent from Table 1). For the sells, all means returns are negative, with an average daily return of -0.06 percent, or -16.2 on an annualized ...
stock market overreaction and trading volume
... 1996. For the holding period of 1 week, low volume portfolios did not experience any significant reversals. This led the authors to suggest that in order for overreaction to occur, there needs to be a high level of trading activity (volume). The authors concluded that the contrarian profits are grea ...
... 1996. For the holding period of 1 week, low volume portfolios did not experience any significant reversals. This led the authors to suggest that in order for overreaction to occur, there needs to be a high level of trading activity (volume). The authors concluded that the contrarian profits are grea ...
investment banking and securities issuance
... and Masulis survey has an extensive discussion of rights issues (equity issues where existing shareholders are given the right to purchase new shares at a fixed exercise price). Rights issues will not be covered here, partly because rights issues are not common in the USA and their use in other count ...
... and Masulis survey has an extensive discussion of rights issues (equity issues where existing shareholders are given the right to purchase new shares at a fixed exercise price). Rights issues will not be covered here, partly because rights issues are not common in the USA and their use in other count ...
