Stock returns
Consumption-wealth ratio and expected stock returns: evidence from panel data
... excess stock returns on ...future stock returns or the cross- section of stock ...foreign stock returns, from an American’s investor point of ...
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APPLICATION OF ADAPTIVE NEURO-FUZZY INFERENCE SYSTEM IN INTEREST RATES EFFECTS ON STOCK RETURNS
... Hence, in this case we get negative stock returns instead of positive we found previously. The ANFIS technology is much more useful for the practitioners because they are able to determine more efficiently ...
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Stock returns, inflation, and real activity in developing countries: A Markov-switching approach
... to stock returns, reducing the real rate of stocks as well as interest ...real stock returns and economic ...result, stock prices are undervalued when inflation rises, and this leads to ...
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Do “The Best Companies to Work” have higher Stock returns?
... Higher Stock Returns? The main purpose of this work is to prove the link between job satisfaction and the firm’s ...monthly returns of a portfolio composed by firms present in the «Best Companies to ...
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The Effects of Domestic Macroeconomic Determinants on Stock Returns: A Sector Level Analysis
... Mukherjee and Naka (1995) assert that both short-term and long-term interest rates may positively influence discount rates through their effect on nominal risk-free rates. Furthermore, according to them, restrictive ...
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Earnings quality and the heterogeneous relation between earnings and stock returns
... negative stock returns (represented by the negative intercept) and high return volatility (the variance is ...explaining stock returns than in the low volatility regime which implies that ...
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Investor sentiment and the cross-section of stock returns in the French stock market
... In order to control the effect of macroeconomic conditions on stock returns, six macroeconomic variables are collected. The Industrial Production Index (IPI) measures the monthly variation of quantities ...
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The Effects of Asset Management and Profitability on Stock Returns: A Comparative Study between Conventional and Islamic Stock Markets in Indonesia
... The activity ratio which represented by the TATO has no significant effect on the conventional stock returns. Previous study conducted by Farkhan and Ika (2012) showed that the TATO has a negative effect on ...
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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
... Let us first thank the editors, Federico Bandi and Andrew Patton, for selecting such a distinguished panel of discussants. Of course we are grateful to the discussants for hav- ing put such an effort to read the paper in ...
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Book-to-Market Ratio, return on equity and Brazilian Stock Returns
... According to Clubb and Naffi (2007) , although the premises of the models imply that the explanatory power of both should be identical, possible distortions in measuring the predicted variables (FBM tþ1 and FROE tþ1 ) may ...
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Monetary policy and the cross-section of stock returns: a FAVAR approach
... world stock markets participants attentively monitor central banks movements suggest that maybe monetary policy has impact on stock returns as ...affect stock returns? As suggested by a ...
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Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
... using returns on option data but in this paper we choose to identify how far we can go making use of only stock returns data to extract risk-neutral ...stocks returns using a nonparametric ...
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INFLATION ANNOUNCEMENTS, FEDERAL RESERVE BIAS AND STOCK RETURNS
... the stock prices react to monetary information, but do not react to inflation, unemployment and industrial output, Chen, Roll and Ross (1986) have concluded that the rate of growth of industrial output, is a ...
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Short selling frictions, investor behavior and stock returns
... Cohen et al. (2007) tried to isolate the effects of stock loan supply and demand shifts on stock prices. They postulate that higher fees associated with increases in lending indicate a (net) increase in the ...
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Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries
... Despite the unquestionable value-added of the subsequent literature, what we see as lacking in it is the use of a broad enough approach to test the idea that transitory trend deviations for consumption (c), asset ...
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Automatic model selection for forecasting Brazilian stock returns
... Os artigos dos Textos para Discussão da Escola de Economia de São Paulo da Fundação Getulio. Vargas são de inteira responsabilidade dos autores e não refletem necessariamente a opinião d[r] ...
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Investor Sentiment and the Cross-Section of Stock Returns
... the returns variables. Returns are measured ...monthly returns from CRSP for the 12 months ending in the June prior to ...monthly returns from July of year t through June of year t + ...
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Nonparametric tail risk, stock returns, and the macroeconomy
... asset returns, Kelly and Jiang (2014) obtain a new measure of time-varying tail risk that captures common fluctuations in tail risk among individual ...of returns of financial ...equity returns at ...
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Insper and NOVA School of Business and Economics Double Degree Masters in Economics Program
... asset returns, Table 6 show a set of results using the lagged trend deviation, 𝑐𝑎𝑦 ̂ 𝑡−1 , as a predictive variable for returns and excess ...real returns nor excess returns in ...Ibovespa ...
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