[PDF] Top 20 Expected and realized stock returns: Evidence from India

... the expected return and risk but investors are more interested in realized ...considerations, expected return as realized return and variance as investment risk, of Markowitz’s mean – variance ... See full document

... arrows). From this we conclude that the identity of the firms which drove the average positive CAR in either time period ...benefit from a broadening of ... See full document

... between stock return and company ...cash from operations, PE et ...the expected stream of residual income or abnormal earnings (Ohlson, 1995; and Feltham and Ohlson, ... See full document

... in stock market volatility is also a matter of investigation for many researchers in different market ...provide evidence for the impact of past variability of economic factors on European stock ... See full document

... Unlike investors in efficient markets, investors do make mistakes and learn to adapt their behaviour ac- cordingly in the framework of AMH. The AMH has a number of practical implications. First, the risk-reward ... See full document

... the evidence so far points to the maintenance of proposition 1 that a premium exists for investor protection, where this is defined as the product of state institutional quality and proportion of free ...the ... See full document

... between returns and inflation is not true one; instead it is only a proxy relationship between stock return and growth rate of real income and an inverse relation between stock returns and ... See full document

... of stock prices and ...company stock returns and also tests for volatility changes from the buffering effect from ...Utility stock returns asymmetry in up and down markets ... See full document

... how expected returns are related to risk and to investor misevaluations (Hirshleifer, 2001) while acknowledging that the pricing models are bound ...present evidence that IS has strong effects on ... See full document

... functions from the Elliott, Komunjer and Timmermann (2005) methodology with squared forecast errors ...year’s realized S&P 500 return was above (“expansion”) or below (“recession”) the sample ... See full document

... of stock exhibits predictability of stock ...of realized and implied volatility of firms can forecast the cross- section of future stock ...individual stock is nega- tively associated ... See full document

... Greek stock index futures market and examined the maturity effect through linear regressions and GARCH ...commodities from five futures exchanges observed between 1996 and ...with realized ... See full document

... are expected to use their internally generated funds ...provide evidence consistent with the hypothesis that the amount of dividends paid is inversely related to the firm’s investment ...this ... See full document

... emerging stock market returns have been widely discussed in ...industrial stock market excess ...national stock market indices, we find that some industries cannot be classified as “high-beta ... See full document

... and! returns! is! also! opposite! to! that! ...portfolio! returns! decrease! considerably! for! both! equalS ...equalSweighted! returns! and! ...differ! from! the! findings! of! Florackis,! ... See full document

... securities from being ...investors from expressing their opinion in the form of investments and cause optimistic investors to drive up the prices resulting in lower returns in the ...a stock ... See full document

... abnormal returns take less extreme ...abnormal returns of shorted stocks are lower than expected: negative and becoming more negative when going from shorter periods to longer periods of ...be ... See full document

... the stock return behaviour in two premier Indian stock markets using Chow- Denning (1993) multiple variance ratio and Hinich (1996) bicorrelation ...in stock returns surrounded by long periods ... See full document

... The data for this study is collected from BSE exchange. The 30 companies listed in Sensex index are considered to be the population for this research. Out of these 30 companies, only companies that have issued ... See full document

... between stock market prices and macroeconomic variables including inflation in five Asian countries (Malaysia, Indonesia, Philippines, Singapore and Thailand) using consumer price index as proxy for inflation and ... See full document