Results Using Market-Adjusted Excess Returns
Emerging Market Currency Excess Returns
... overstatement of the return from the strategy by several tens of basis points per annum. We have also been careful when incorporating transactions costs due to bid/offer spreads in our excess return calculations. ...
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Excess Income and Capital Market Returns
... asset returns is a meaningful determinant of excess returns in the medium and long-term sectors of the Treasury ...rates, using 2-, 5-, and 10-year yields from McCulloch and Kwon’s (1993) ...
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Market excess returns, variance and the third cumulant
... between market excess returns and ...regressions results of the market excess returns on the realized variance in the same period for monthly, quarterly, semi-annul and ...
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Excess returns in the Hong Kong commercial property market
... not adjusted for price influencing attributes of the transacted ...1 using actual home transaction data in Atlanta, Chicago, Dallas and San ...studies using average transaction prices when implicit ...
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Currency excess returns and global downside market risk
... currency excess returns calculated from a perspective of a US investor, ...fically adjusted to assess the importance of currency-speci fic and global risks for bilateral currency excess ...of ...
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Excess Returns with Black Swan Investing on the Indian Stock Market
... satisfactory results, ...the market continued to grow during these years, the value of the index increases to a greater extent compared to the low beta ...
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Excess Returns in the Hong Kong Commercial Real Estate Market
... concerning market efficiency are dependent upon the time-series characteristics of the data ...of market efficiency should be carried out using transactions ...true market returns are ...
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B. Volatility of Excess Cash Holdings and Future Market Returns
... of Excess Cash Holdings and Future Market Returns It is interesting to ask whether excess cash holdings of mutual funds predict market ...The results presented in Table 12 of the ...
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The advantages of using excess returns to model the term structure
... and returns using a conventional three factor ...of returns is linear in variables but subject to nonlinear restrictions across its ...basic results from these ...
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Modelling and explaining carry trade excess returns in the foreign exchange market
... currencies of the commodity producers suffer during global recessions when demand for the commodities declines and their prices correspondingly. (Bank for International Settlements 2008.) Baillie and Chang (2011) study ...
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An Analysis of Investment Strategies and Excess Returns in the China (Shanghai) Stock Market
... Foreigners initially were not allowed to trade in A shares directly, but could purchase B shares in the Shanghai and Shenzhen stock exchanges via the Qualified Foreign Institutional Investor (QFII) system or purchase ...
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Efficient Prediction of Excess Returns
... the results are di¤erent depending on whether one uses the SPF forecast errors or announcement surprise measures as additional ...error. Using our bootstrap test, the improvement is statistically signi…- ...
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Bond Supply and Excess Bond Returns
... expected returns in the ...expected returns, holding the short rate ...predictions. Using our empirical estimates of supply effects, we calibrate the model and infer arbitrageur risk ...
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Modeling Fixed Income Excess Returns
... empirical results to the choice of holding period over which excess returns are measured, the data set which is used to calculate excess returns, and the bonds’ term to ...modeling ...
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Linkages between Excess Currency and Stock Market Returns: Granger Causality in Mean and Variance
... the excess currency return is the leading variable and Granger causes the excess stock return volatility in the ...stock returns are adjusted for ...
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Keywords: risk anomaly, pharmaceutical sector, stock market, volatility portfolios, risk-adjusted returns
... monthly returns of each stock along with the CNX NIFTY 200 ...average returns of each of the portfolios for the respective months are then calculated using the formula: P1 = (S I + S 2 + S 3 + S 4 + ...
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Factors Affecting Risk-Adjusted Stock Market Returns in Emerging Markets: A Pre- and Post-Crisis Comparison
... stock market; however, as we have already stated over the paper, we believe that other variables have played a more important role in driving the stock market behaviour in emerging ...The results in ...
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Identifying the Future Directions of Australian Excess Stock Returns and Their Determinants Using Binary Models
... important to determine which predictor variables are significant in each time interval to forecast return signs. 6.7 Conclusion This study considered the predictability of Australian monthly excess stock return ...
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EXPLOITING EXCESS RETURNS FROM SHARE BUYBACK ANNOUNCEMENTS
... study results support findings from more than two decades of academic research that the announcement of a share buyback provides a compelling signal for short-term post-announcement excess ...short-term ...
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Active bond-fund excess returns: Is it alpha... or beta?
... 5 This paper’s analysis of bond funds used an equal-weighted methodology for purposes of simplicity. We also performed key portions of the analysis using an asset-weighted methodology and found almost identical ...
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