Three Essays On Predictability And Seasonality In The Cross Section Of Stock Returns
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Three Essays On Predictability And Seasonality In The Cross Section Of Stock Returns
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Author : Vincent Jean Bogousslavsky
language : en
Publisher:
Release Date : 2017
Three Essays On Predictability And Seasonality In The Cross Section Of Stock Returns written by Vincent Jean Bogousslavsky and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Mots-clés de l'auteur: Return Predictability ; Return Seasonality ; Asset Pricing Anomalies ; Intraday Returns ; Liquidity ; Infrequent Rebalancing.
Essays On Predicting And Explaining The Cross Section Of Stock Returns
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Author : Xun Zhong
language : en
Publisher:
Release Date : 2019
Essays On Predicting And Explaining The Cross Section Of Stock Returns written by Xun Zhong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
My dissertation consists 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 result appears to be statistically significant, that is, the p-value of the test statistic is below a particular threshold. The standard information aggregation techniques exacerbate p-hacking by increasing the probability of the type I error. I propose an aggregation technique, which is a simple modification of 3PRF/PLS, that has an opposite property: the predictability tests applied to the combined predictor become more conservative in the presence of p-hacking. I quantify the advantages of my approach relative to the standard information aggregation techniques by using simulations. As an illustration, I apply the modified 3PRF/PLS to three sets of return predictors proposed in the literature and find that the forecasting ability of combined predictors in two cases cannot be explained by p-hacking. In the second chapter, I explore whether the stochastic discount factors (SDFs) of five characteristic-based asset pricing models can be explained by a large set of macroeconomic shocks. Characteristic-based factor models are linear models whose risk factors are returns on trading strategies based on firm characteristics. Such models are very popular in finance because of their superior ability to explain the cross-section of expected stock returns, but they are also criticized for their lack of interpretability. Each characteristic-based factor model is uniquely characterized by its SDF. To approximate the SDFs by a comprehensive set of 131 macroeconomic shocks without overfitting, I employ the elastic net regression, which is a machine learning technique. I find that the best combination of macroeconomic shocks can explain only a relatively small part of the variation in the SDFs, and the whole set of macroeconomic shocks approximates the SDFs not better than only few shocks. My findings suggest that behavioral factors and sentiment are important determinants of asset prices. The third chapter investigates whether investors efficiently aggregate analysts' earnings forecasts and whether combinations of the forecasts can predict announcement returns. The traditional consensus forecast of earnings used by academics and practitioners is the simple average of all analysts' earnings forecasts (Naive Consensus). However, this measure ignores that there exists a cross-sectional variation in analysts' forecast accuracy and persistence in such accuracy. I propose a consensus that is an accuracy-weighted average of all analysts' earnings forecasts (Smart Consensus). I find that Smart Consensus is a more accurate predictor of firms' earnings per share (EPS) than Naive Consensus. If investors weight forecasts efficiently according to the analysts' forecast accuracy, the market reaction to earnings announcements should be positively related to the difference between firms' reported earnings and Smart Consensus (Smart Surprise) and should be unrelated to the difference between firms' reported earnings and Naive Consensus (Naive Surprise). However, I find that market reaction to earnings announcements is positively related to both measures. Thus, investors do not aggregate forecasts efficiently. In addition, I find that the market reaction to Smart Surprise is stronger in stocks with higher institutional ownership. A trading strategy based on Expectation Gap, which is the difference between Smart and Naive Consensuses, generates positive risk-adjusted returns in the three-day window around earnings announcements.
Essays On The Cross Sectional Predictability Of Stock Returns
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Author : Mihai B. Ion
language : en
Publisher:
Release Date : 2013
Essays On The Cross Sectional Predictability Of Stock Returns written by Mihai B. Ion and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Three Essays On Stock Market Volatility And Stock Return Predictability
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Author : Shu Yan
language : en
Publisher:
Release Date : 2000
Three Essays On Stock Market Volatility And Stock Return Predictability written by Shu Yan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Stock exchanges categories.
Three Essays On Stock Market Seasonality
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Author : Hyung-suk Choi
language : en
Publisher:
Release Date : 2008
Three Essays On Stock Market Seasonality written by Hyung-suk Choi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Essays On The Predictability And Volatility Of Returns In The Stock Market
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Author : Ruojun Wu
language : en
Publisher:
Release Date : 2008
Essays On The Predictability And Volatility Of Returns In The Stock Market written by Ruojun Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Bayesian statistical decision theory categories.
This dissertation studies the effect of parameter uncertainty on the return predictability and volatility of the stock market. The first two chapters focus on the decomposition of market volatility, and the third chapter studies the return predictability. When facing imperfect information, the investors tend to form a learning scheme that encompasses both historical data and prior beliefs. In the variance decomposition framework, the introducing of learning directly impacts the way that return forecasts are revised and consequently the relative component of market volatility based on these forecasts, namely the price movements from revision on future discount rates and those from future cash flows. According to the empirical study in Chapter 1, the former is not necessarily the major driving force of market volatility, which provides an alternative view on what moves stock prices. Learning is modeled and estimated by Bayesian method. Chapter 2 follows the topic in Chapter 1 and studies the role of persistent state variables in return decomposition in order to provide more robust inference on variance decomposition. In Chapter 3 we propose to utilize theoretical constraints to help predict market returns when in sample data is very noisy and creates model uncertainty for the investors. The constraints are also incorporated by Bayesian method. We show in the out-of-sample forecast experiment that models with theoretical constraints produce better forecasts.
Finance
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Author : R.A. Jarrow
language : en
Publisher: Elsevier
Release Date : 1995-12-15
Finance written by R.A. Jarrow and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-12-15 with Business & Economics categories.
Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Three Essays On International Stock And Bond Markets
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Author : DongJoon Jeong
language : en
Publisher:
Release Date : 1993
Three Essays On International Stock And Bond Markets written by DongJoon Jeong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.
Proceedings
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Author :
language : en
Publisher:
Release Date : 1993
Proceedings written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Investments categories.
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2009-06
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06 with Dissertations, Academic categories.