by University of Leicester, Department of Economics .
Written in English
|Statement||Wojciech W. Charemza, Kalvinder Shields and Anna Zalewska-Mitura.|
|Series||Discussion papers in economics / University of Leicester, Department of Economics -- No. 97/5, Discussion papers in economics -- No. 97/5.|
|Contributions||Shields, Kalvinder., Zalewska-Mitura, Anna., University of Leicester. Department of Economics.|
Downloadable (with restrictions)! This paper analyses the predictability of a hypothetical market with freely negotiated prices on which exists a censoring of one-period returns which are in excess of an arbitrary level ('floor' and 'ceiling'). It is shown that the expected value of returns (adjusted for drift) conditional on last period information regarding the censoring are equal to zero. Introduction. People have been trying to forecast the stock market for a very long time. A hundred years ago, the common tools to predict the stock market were hand drawn charts and lines, but with the introduction of computers, more sophisticated tools to predict the stock market were developed, leading to many indicators being available today. A number of recent papers have analyzed the degree of predictability of stock markets. In this paper, we firstly study whether this predictability is really exploitable and secondly, if the. On the Predictability of Stock Returns: Theory and Evidence Chapter 2 The time-series relations among expected return, risk, and book-to-market Empirical research consistently finds a positive cross-sectional relation between average stock returns and the ratio of a firm’s book equity to market equity (B/M). Stattman () andFile Size: KB.
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