A Test Of The Errors In Expectations Explanation Of The Value Glamour Stock Returns Performance
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A Test Of The Errors In Expectations Explanation Of The Value Glamour Stock Returns Performance
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Author : John A. Doukas
language : en
Publisher:
Release Date : 2001
A Test Of The Errors In Expectations Explanation Of The Value Glamour Stock Returns Performance written by John A. Doukas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Several empirical studies show that investment strategies that favor the purchase of stocks with low prices relative to dividends, earnings, book value or other measures of value yield higher returns. Some of these studies imply that investors are too optimistic about (glamour) stocks that have had good performance in the recent past and too pessimistic about (value) stocks that had performed poorly. In this paper we examine whether investors systematically overestimate (underestimate) the future earnings performance of glamour (value) stocks over the 1976-1997 period. Our results fail to support the extrapolation hypothesis that posits that the superior performance of value stocks is because investors make systematic errors in predicting future growth in earnings of out-of-favor stocks.
The Value Glamour Anomaly
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Author : John A. Doukas
language : en
Publisher:
Release Date : 2001
The Value Glamour Anomaly written by John A. Doukas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Several portfolio managers and stock analysts subscribe to the view that value (high book-to-market) investment strategies yield superior returns relative to glamour (low book-to-market) strategies. Empirical studies confirm that value investment strategies yield higher returns. However, the source of the superior performance of the value strategy and interpretation of the evidence remain controversial. In this paper we examine whether (i) investors systematically overestimate (underestimate) the future earnings performance of glamour (value) stocks, and (ii) value stocks are riskier than glamour stocks over the 1979-1998 period. Our results fail to support the view that the superior performance of value stocks is because investors make systematic errors in predicting future growth in earnings of out-of-favor stocks. Consistent with Fama and French (1992, 1996), our findings suggest that the return advantage of value investing strategies reflects compensation for bearing risk.
Growth Or Glamour
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2005
Growth Or Glamour written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Stocks categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.
Risk And Return In Asian Emerging Markets
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Author : N. Cakici
language : en
Publisher: Springer
Release Date : 2014-08-13
Risk And Return In Asian Emerging Markets written by N. Cakici and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-13 with Business & Economics categories.
Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
The Role Of Expectations In Value And Glamour Stock Returns
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Author : Brandes Institute
language : en
Publisher:
Release Date : 2015
The Role Of Expectations In Value And Glamour Stock Returns written by Brandes Institute and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
When value and glamour stocks missed earnings expectation targets, what happened to their stock prices over the following year? Prices of value stocks increased when earnings expectations were beat and missed - and even when business fundamentals deteriorated. Glamour stocks behaved more predictably, with prices rising and falling after beats and misses, respectively.In this report, the Brandes Institute investigates the role that expectations played in investors' assessment of value and glamour stocks to better understand the sequence of events that allowed value stocks to deliver superior long-term returns. The evidence suggests an undercurrent of behavioral error, counters assertions published by select scholars, and provides fresh evidence explaining why value investing historically has been a successful long-term strategy.
Financial Analysts Forecasts And Stock Recommendations
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Author : Sundaresh Ramnath
language : en
Publisher: Now Publishers Inc
Release Date : 2008
Financial Analysts Forecasts And Stock Recommendations written by Sundaresh Ramnath and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
Financial Analysts' Forecasts and Stock Recommendations reviews research related to the role of financial analysts in the allocation of resources in capital markets. The authors provide an organized look at the literature, with particular attention to important questions that remain open for further research. They focus research related to analysts' decision processes and the usefulness of their forecasts and stock recommendations. Some of the major surveys were published in the early 1990's and since then no less than 250 papers related to financial analysts have appeared in the nine major research journals that we used to launch our review of the literature. The research has evolved from descriptions of the statistical properties of analysts' forecasts to investigations of the incentives and decision processes that give rise to those properties. However, in spite of this broader focus, much of analysts' decision processes and the market's mechanism of drawing a useful consensus from the combination of individual analysts' decisions remain hidden in a black box. What do we know about the relevant valuation metrics and the mechanism by which analysts and investors translate forecasts into present equity values? What do we know about the heuristics relied upon by analysts and the market and the appropriateness of their use? Financial Analysts' Forecasts and Stock Recommendations examines these and other questions and concludes by highlighting area for future research.
Country Asset Allocation
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Author : Adam Zaremba
language : en
Publisher: Springer
Release Date : 2016-10-26
Country Asset Allocation written by Adam Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Business & Economics categories.
This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.
Advances In Computational Science And Computing
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Author : Ning Xiong
language : en
Publisher: Springer
Release Date : 2018-11-14
Advances In Computational Science And Computing written by Ning Xiong and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-11-14 with Technology & Engineering categories.
This book includes papers on the recent advances in state-of-the-art computational science and computing presented at the 2018 International Symposium on Computational Science and Computing (ISCSC 2018), held in Huangshan, China, from 28 to 29 July 2018. All the papers were rigorously peer-reviewed by experts in the area. It is a valuable resource for researchers, professors, graduate students, as well as R & D staff in the industry with a general interest in computational science and computing.
The Cambridge Handbook Of Psychology And Economic Behaviour
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Author : Alan Lewis
language : en
Publisher: Cambridge University Press
Release Date : 2008-04-17
The Cambridge Handbook Of Psychology And Economic Behaviour written by Alan Lewis and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-17 with Psychology categories.
Psychologists have been observing and interpreting economic behaviour for at least fifty years, and the last decade, in particular, has seen an escalated interest in the interface between psychology and economics. The Cambridge Handbook of Psychology and Economic Behaviour is a valuable reference resource dedicated to improving our understanding of the economic mind and economic behaviour. Employing empirical methods – including laboratory experiments, field experiments, observations, questionnaires and interviews – the Handbook covers aspects of theory and method, financial and consumer behaviour, the environment and biological perspectives. With contributions from distinguished scholars from a variety of countries and backgrounds, the Handbook is an important step forward in the improvement of communications between the disciplines of psychology and economics. It will appeal to academic researchers and graduates in economic psychology and behavioural economics.
Pacific Basin Finance Journal
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Author :
language : en
Publisher:
Release Date : 2004
Pacific Basin Finance Journal written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.