Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 37 for “"Return Predictability"”.
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Essays on asset return predictability
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1993.
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Three Essays on Return Predictability and Decentralized Investment Management
… research field is asset pricing with a focus on return predictability, innovation and market efficiency, and delegated investment management.</p><p>In Chapter 1, "Maximum Return Predictability", I develop two theoretical upper bounds on the R2 of the regression of stock returns on predictive …
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Evidence of return predictability on the Johannesburg Stock Exchange
We investigate return predictability on the Johannesburg Stock Exchange (JSE) with a particular emphasis on (a) the incidence and nature of linear and nonlinear serial dependence underlying the return generation process and (b) the consistency of return predictability between a stable and market …
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Return Predictability Conditional on the Characteristics of Information Signals
… of information signals can help predict returns that are of economic significance. We use large price changes, public announcements, and large volume increases to proxy for the magnitude, dissemination, and precision of information signals. Abnormal returns following large price change …
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Volatility risk and stock return predictability on global financial crises
… the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE) from January …
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Non-linear dynamics and stock return predictability on the JSE securities exchange of South Africa
… walk process or, equivalently, that security returns are normally and linerly distributed. A crucial implication or this assumption is that the prices and returns are unpredictable, hence it is not possible to earn excess returns on the market through the innovative use of relevant information.
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Essays in capital markets
(cont.) Slow information diffusion can cause return momentum. Institutions are thought to be more informed than individuals, and should eliminate return predictability. However, higher institutional ownership is associated with more momentum. Therefore, institutions either herd on returns or can …
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Two Essays on the Cross-Section of Stock Returns
… idiosyncratic volatility has little, if any, return predictability. Second, I propose a parsimonious measure to characterize the severity of the microstructure noise at the individual stock level and assess the impact of this microstructure induced illiquidity on cross-sectional return …
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Three Essays In Finance
… and another paper on the cross section of stock returns.</p> <p>Chapter One investigates the effect of legal shareholder protection on the efficiency of corporate R&D investment. The main finding is that institutional protection of shareholder benefits reduces both underinvestment and …
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Regime change and weak form efficiency of South African foreign exchange markets
… about how a change in monetary policy affects return predictability. Samples of daily Rand/dollar. Rand/euro and Rand/sterling exchange rates for 1995 to 2005 were used. February 2000 was the date for a regime-shift and the sample is divided into two sample periods. By using the likelihood …
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Essays in Asset Pricing
… essays in asset pricing with the common theme of return predictability.</p> <p><strong>Chapter 1:</strong> This chapter introduces the motivation, results, and structure of the dissertation.</p> <p><strong>Chapter 2:</strong> I examine the relation between the social ties between firms' …
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Going by the Book: Valuation Ratios and Stock Returns
… of the book value of equity to impact stock returns. I first find that book-to-market is relatively less informative of future returns when it significantly deviates from other valuation multiples, and employing refined signals improve return predictability. Then, I find that a firm’s stock …
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Essays on Asset Pricing
… types of business investment are linked to stock returns. The second chapter takes a consumption-based approach and investigates how the interaction between limited enforcement and preference heterogeneity affects individual consumption, risk sharing and asset prices. In Chapter One “Capital …
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Essays on Empirical Asset Pricing and Behavioural Finance
… 'Historical Highs and the Cross-section of Stock Returns'. In this chapter, we examine the return predictability of the historical high in the cross-section of stock returns. We hypothesise that investors anchor on the historical highs and overreact to bad news while stock prices are far below …
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Essays on Empirical Asset Pricing and Behavioural Finance
… 'Historical Highs and the Cross-section of Stock Returns'. In this chapter, we examine the return predictability of the historical high in the cross-section of stock returns. We hypothesise that investors anchor on the historical highs and overreact to bad news while stock prices are far below …
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Three essays in financial economics
… market conditions, which in turn generates return predictability in the cross-section of firms with foreign operations. A simple trading strategy that exploits geographic information yields risk adjusted return of 135 basis points per month, or 16.2% per year. The predictability cannot be …
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Three essays on market transparency
… level, hidden orders can generate 13 basis point return (33 percent annually), but the return of displayed orders is zero. On a two-day horizon, the portfolio of stocks with trades heavily executed against hidden buy orders outperforms the portfolio of stocks with trades heavily executed against …
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Essays on Real Estate Finance and Machine Learning
… significant out-of-sample improvement in the return prediction of U.S. REITs. I find that return predictability is improved and REIT investors experience significant economic gains when using machine learning forecasts as compared to traditional OLS forecasts. I also discover that REITs are …
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