Excess Returns
An Analysis of Investment Strategies and Excess Returns in the China (Shanghai) Stock Market
... between excess returns and four investment strategies - value, momentum, size, and liquidity - for the China stock market during the period 2003-2015, by applying the methodology proposed by Jegadeesh and ...
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What news drive variation in Swiss and US bond and stock excess returns?
... Compared with the stock excess return news series, news of Swiss bond excess returns typically do not exhibit so many pronounced swings. There are two episodes that stand out. The first one occurred ...
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Cross Sectional Estimation Biases in Risk Premia and Ze ro Beta Excess Returns
... the excess return of any asset will be linear in terms of its market beta with the same intercept (the zero-beta excess return) and the same linear coefficient (the market risk ...zero-beta excess ...
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The advantages of using excess returns to model the term structure
... of excess returns rather than yields or log prices in analysing the risk neutral dynamics of the term ...sumptions, excess returns are affine in the risk neutral innovations in the ...the ...
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Forecasting benchmarks of long-term stock returns via machine learning
... year’s excess returns given prominent covariates from the literature, such as dividend-by-price ratio, earnings-by-price ratio, short interest rate, long interest rate, the term spread, the inflation, as ...
21
Fama and French Three-Factor Model: Evidence from Istanbul Stock Exchange
... group. Excess return on these portfolios in each month is calculated by averaging the total excess returns of the individual stocks in these ...stock excess-return is the difference between ...
12
What Do You Do If You’ve Been at the Poker Table for Twenty Minutes and Still Can’t Spot the Sucker? Implications for Individual Investors
... assumptions excess returns can be obtained without having to purchase stocks below their true ...these excess returns did not require accepting additional risk, either in the economic or ...
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IMPACT OF STOCK SPLIT ANNOUNCEMENT ON MARKET PERFORMANCE OF STOCKS: A STUDY WITH REFERENCE TO MANUFACTURING INDUSTRIES IN INDIA
... average excess returns (AAR) for each relative day t are calculated across the ...abnormal returns (CAAR) are the sum of the average excess returns over event ...
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A survey-based estimation of the Swiss franc forward term premium
... estimate excess returns in Swiss franc (CHF) interest rate futures and decompose excess returns into its two components, an analysis that has not been undertaken ...
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Short term returns and the predictability of Finnish stock returns
... in excess returns of six size and seven industry portfolios is studied by decomposing the predictability into the proportion of the variance explained by the predictability of changing risk premia and ...
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Cross Sectional Dispersion of Firm Valuations and Expected Stock Returns
... monthly excess returns of beta (BETA) and volatility (VOL) quintiles on the lagged CVD, with and without controls for the return comovement with a set of well-known common factors, including market ...
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Predictive ability of three different estimates of “cay” to excess stock returns A comparative study South Africa & U S
... Lettau and Ludvigson (2001) have shown the trend deviations of these macroeconomic variables strongly predicts the excess stock returns over a treasury bill rate, and can account for a substantial fraction ...
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THE REAL VALUE OF ACQUISITIONS: A CASE STUDY OF LIYOD AND HBOS
... daily excess returns that accrue to the shareholders around the date of announcement of the merger ...positive excess returns for the shareholders of both firms around the announcement ...
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Currency regimes and the carry trade
... log excess returns (EXRET, % per annum), carry components (CARRY, % per annum), and exchange rate returns (SPOT, % per annum), standard deviation (SD, % per annum) and skewness (SKEW) of log ...
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The impact of momentum trades on return comovements and asymmetric volatility in dual listings
... variables, excess volume times returns for ADR and home securities to test the implications of information ...of excess volume and return that allows us to split the sample into three separate ...
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Identifying the Future Directions of Australian Excess Stock Returns and Their Determinants Using Binary Models
... stock returns and inflation, and revealed that common stock returns are negatively related to both expected and unexpected components of the inflation ...
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Macro Factors in UK Excess Bond Returns: Principal Components and Factor Model Approach
... that excess returns cannot be predicted and risk premia do not change over time (Cochrane and Piazzesi 2005, Ludvigson and Ng ...and excess returns are ...predicts excess returns ...
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A STUDY OF RELATIONSHIP BETWEEN MEASURE OF AMIHUD ILLIQUIDITY AND STOCK RETURNS IN TEHRAN STOCK EXCHANGE Mohsen Noorbakhsh Langeroodi, Mehdi Meshki, Matin Jafary Nejad Sowme'eh Sarai
... Due to lack of significant variable coefficients of Amihud illiquidity in the regression equation corresponding hypothesis, it follows that Amihud illiquidity variable as a measure of liquidity measures doesn’t have ...
7
High-frequency Pairs Trading on a Small Stock Exchange
... Several studies point out the significance of the formation period as a key element for excess returns (Bowen et al., 2010). (Huck 2013) chooses four different formation periods (6 months, 1 year, 1½ years, ...
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Currency momentum strategies
... momentum returns are significantly positive and always larger in high-risk countries than in low-risk countries, where momentum strategies do not yield significant excess ...
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