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 6 of 6 for “"Stock return predictability"”.
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Volatility risk and stock return predictability on global financial crises
… for investigating 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 …
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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 on predictability of stock returns
This thesis consists of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and …
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Essays in Asset Allocation
… out-of-sample for portfolio selection among 3516 stocks in CRSP and comparing this rule to the mean-variance (MV) rule and the naïve 1/N rule recently advocated by DeMiguel, Garlappi and Uppal (2009). The BSV rule outperforms both the MV and 1/N rules and the outperformance is robust to investment …
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Essays on Predicting and Explaining the Cross Section of Stock Returns
… of three chapters that study various aspects of stock return predictability. In the first chapter, I explore the interplay between the aggregation of information about stock returns and p-hacking. P-hacking refers to the practice of trying out various variables and model specifications until the …
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Predictability in Equity Markets: Estimation and Inference
… thesis consists of three chapters dealing with predictability in equity markets. The first chapter analyses predictive regressions in a predictive system framework, where the predictor is an imperfect proxy for the expected returns. I show that when there are differences between the dynamic …