Relevant bibliographies by topics / Expected stock returns

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Expected stock returns'

Author: Grafiati
Published: 4 June 2021
Last updated: 12 February 2022

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Journal articles on the topic "Expected stock returns"

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Bulkley, George, and Vivekanand Nawosah. "Can the Cross-Sectional Variation in Expected Stock Returns Explain Momentum?" Journal of Financial and Quantitative Analysis 44, no. 4 (2009): 777–94. http://dx.doi.org/10.1017/s0022109009990111.

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AbstractIt has been hypothesized that momentum might be rationally explained as a consequence of the cross-sectional variation of unconditional expected returns. Stocks with relatively high unconditional expected returns will on average outperform in both the portfolio formation period and in the subsequent holding period. We evaluate this explanation by first removing unconditional expected returns for each stock from raw returns and then testing for momentum in the resulting series. We measure the unconditional expected return on each stock as its mean return in the whole sample period. We f
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FAMA, EUGENE F. "Stock Returns, Expected Returns, and Real Activity." Journal of Finance 45, no. 4 (1990): 1089–108. http://dx.doi.org/10.1111/j.1540-6261.1990.tb02428.x.

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Liu, Laura Xiaolei, Toni M. Whited, and Lu Zhang. "Investment‐Based Expected Stock Returns." Journal of Political Economy 117, no. 6 (2009): 1105–39. http://dx.doi.org/10.1086/649760.

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French, Kenneth R., G. William Schwert, and Robert F. Stambaugh. "Expected stock returns and volatility." Journal of Financial Economics 19, no. 1 (1987): 3–29. http://dx.doi.org/10.1016/0304-405x(87)90026-2.

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Rytchkov, Oleg. "Filtering Out Expected Dividends and Expected Returns." Quarterly Journal of Finance 02, no. 03 (2012): 1250012. http://dx.doi.org/10.1142/s2010139212500127.

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This paper applies a state space approach to the analysis of stock return predictability. It acknowledges that expected returns and expected dividends are unobservable and uses the Kalman filter to extract them from the observed history of realized dividends and returns. The suggested approach explicitly takes into account the time variation in expected dividend growth rates and exploits the present value relation. The obtained predictors for future returns are robust to structural breaks in the means of expected dividends and returns and more efficient than the dividend–price ratio. The likel
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Hu, Guanglian, and Kris Jacobs. "Volatility and Expected Option Returns." Journal of Financial and Quantitative Analysis 55, no. 3 (2019): 1025–60. http://dx.doi.org/10.1017/s0022109019000310.

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We analyze the relation between expected option returns and the volatility of the underlying securities. The expected return from holding a call (put) option is a decreasing (increasing) function of the volatility of the underlying. These predictions are supported by the data. In the cross section of equity option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross-sectional variation in expected stock returns. It holds in various option samples with different maturities and moneyness, and is robust to alternat
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Ze-To, Samuel Y. M. "Expected Stock Returns and Option-Implied Rate of Return." Journal of Mathematical Finance 02, no. 04 (2012): 169–279. http://dx.doi.org/10.4236/jmf.2012.24030.

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Vu, Joseph D. V. "Trading Activity and Expected Stock Returns." CFA Digest 31, no. 3 (2001): 18–19. http://dx.doi.org/10.2469/dig.v31.n3.908.

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Chordia, Tarun, Avanidhar Subrahmanyam, and V. Ravi Anshuman. "Trading activity and expected stock returns." Journal of Financial Economics 59, no. 1 (2001): 3–32. http://dx.doi.org/10.1016/s0304-405x(00)00080-5.

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Pástor, Ľuboš, and Robert F. Stambaugh. "Liquidity Risk and Expected Stock Returns." Journal of Political Economy 111, no. 3 (2003): 642–85. http://dx.doi.org/10.1086/374184.

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Dissertations / Theses on the topic "Expected stock returns"

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Sursock, Jean-Paul 1974. "The cross section of expected stock returns revisited." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/9218.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2000.<br>Also available online at the DSpace at MIT website.<br>Includes bibliographical references (leaves 60-61).<br>We review and extend two important empirical financial studies: Fama and MacBeth [1973] and Fama and French [1992]. Fama and MacBeth [1973] sort stocks on the New York Stock Exchange into 20 portfolios based on their market [beta]. They test for, and conclude that, [beta] does in fact explain the cross-sectional variation in average stock returns for the 1926-1968 peri
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Drobetz, Wolfgang. "Expected returns, consumption, and the business cycle on global stock markets /." Wiesbaden : Dt. Univ.-Verl, 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=009160185&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Lee, John Byong Tek. "Higher idiosyncratic moments and the cross-section of expected stock returns /." Thesis, Connect to this title online; UW restricted, 2008. http://hdl.handle.net/1773/8710.

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Castro, Andressa Souza Campos Monteiro. "Consumption-wealth ratio and expected stock returns: evidence from panel data." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13668.

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Submitted by Andressa Souza Campos Monteiro de Castro (dessascmc@gmail.com) on 2015-04-29T19:10:59Z No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5)<br>Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2015-04-30T14:49:43Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b5dfb8c962d18e88e3f041564 (MD5)<br>Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-05-04T12:47:02Z (GMT) No. of bitstreams: 1 Dissertacao_final.pdf: 676467 bytes, checksum: fdc9136b
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Griffin, John Meredith. "Determinants of the cross-section of expected stock returns in Japan." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1272989893.

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Griffin, John M. "Determinants of the cross-section of expected stock returns in Japan /." The Ohio State University, 1997. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487944660932027.

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Huang, (Alan) Guoming. "Essays on the equity premium puzzle, earnings volatility, and expected stock returns." Diss., Connect to online resource, 2005. http://wwwlib.umi.com/dissertations/fullcit/3186936.

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Aretz, Kevin. "The determinants and the rationality of expected U.S. stock returns : empirical evidence." Thesis, Lancaster University, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.441113.

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Xu, Lei. "Conditional betas, higher comoments and the cross-section of expected stock returns." Thesis, University of Exeter, 2010. http://hdl.handle.net/10036/115493.

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This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns of the Fama-French 25 portfolios formed by the quintiles of size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined include simple OLS regressions, the macroeconomic variables model, the state-space model, the multivariate GARCH model and
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Leledakis, George. "An investigation into the cross-sectional determinants of expected stock returns in the London Stock Exchange." Thesis, University of Warwick, 2000. http://wrap.warwick.ac.uk/110958/.

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This thesis entails the examination of the determinants of the cross-section of stock returns in the London Stock Exchange, over the period July 1975 to June 1996, and it brings us a step further in the integrated real and financial view of the firm’s stock returns. The recent empirical evidence on the behaviour of stock returns in the U.S. and other equity markets around the world is reviewed in chapter 2. We broadly classify the findings as being cross-sectional (e.g., asset pricing anomalies) or time series (e.g., calendar effects, return autocorrelations and other forecasting variables) in
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Books on the topic "Expected stock returns"

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Pástor, Lubos̆. Liquidity risk and expected stock returns. National Bureau of Economic Research, 2001.

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Parker, Jonathan A. Consumption risk and expected stock returns. National Bureau of Economic Research, 2003.

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Parker, Jonathan A. Consumption risk and expected stock returns. Woodrow Wilson School of Public and International Affairs, 2003.

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Schillhofer, Andreas. Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6.

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Gomes, Joao. Durability of output and expected stock returns. National Bureau of Economic Research, 2007.

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Gomes, Joao F. Durability of output and expected stock returns. National Bureau of Economic Research, 2007.

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Lettau, Martin. Consumption, aggregate wealth and expected stock returns. Federal Reserve Bank of New York, 1999.

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Gulen, Huseyin. Value versus growth: Time-varying expected stock returns. National Bureau of Economic Research, 2010.

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Campbell, John Y. Measuring the persistence of expected returns. National Bureau of Economic Research, 1990.

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Expected returns and volatility on the JSE securities exchange of South Africa. University of Malawi, Chancellor College, 2005.

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Book chapters on the topic "Expected stock returns"

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Schillhofer, Andreas. "Introduction and Motivation for the Study." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_1.

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Schillhofer, Andreas. "Overview." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_2.

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Schillhofer, Andreas. "Theoretical and Conceptual Framework." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_3.

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Schillhofer, Andreas. "Governance Mechanisms and Firm Performance." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_4.

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Schillhofer, Andreas. "Modeling Governance as a Reward for Risk." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_5.

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Schillhofer, Andreas. "Empirical Evidence on the Relationship Between Corporate Governance and Expected Returns on Equity." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_6.

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Schillhofer, Andreas. "Conclusions and Outlook." In Corporate Governance and Expected Stock Returns. Deutscher Universitätsverlag, 2003. http://dx.doi.org/10.1007/978-3-322-81560-6_7.

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Drobetz, Wolfgang. "Time varying expected returns and the business cycle on international stock markets." In Global Stock Markets. Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-663-08529-4_4.

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Deng, Shijie, Min Sim, and Xiaoming Huo. "Empirical Analysis of Market Connectedness as a Risk Factor for Explaining Expected Stock Returns." In Portfolio Construction, Measurement, and Efficiency. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33976-4_12.

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Breuer, Wolfgang, and Olaf Stotz. "Mutual Fund Flows and Expected Stock Returns in Germany: The Role of the Benchmark and of Expectation Biases." In Diversification and Portfolio Management of Mutual Funds. Palgrave Macmillan UK, 2007. http://dx.doi.org/10.1057/9780230626508_7.

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Conference papers on the topic "Expected stock returns"

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Yang, Haizhen, Chuzhao Wang, and Yanping Zhao. "The Cross-section of Expected Stock Returns: Evidence from Chinese A-share Market." In 2012 Fifth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2012. http://dx.doi.org/10.1109/bife.2012.70.

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Schabek, Tomasz, and Nijolė Maknickienė. "INFLUENCE OF MACROECONOMIC FACTORS ON STOCK PRICES IN POLAND – CROSS SECTION AND TIME SERIES ANALYSIS." In Business and Management 2018. VGTU Technika, 2018. http://dx.doi.org/10.3846/bm.2018.54.

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The purpose of the study is to determine if the macroeconomic factors influence rates of returns from broad index of stocks in Poland. The study investigates stability of relation between macroeconomic and stock market variables in short and long time period. After running time series regressions we check if selected macro variables are still significant in cross-section of stock returns including control variables like price to book value, capitalization and momentum. The study is based on large sample of individual rates of returns and macroeconomic variables describing real sphere of the ec
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Liu, Yucan, and Wang Ping. "Model selection and relationship between idiosyncratic volatility and expected stock returns: evidence from Chinese A-share Market." In 2013 10th International Conference on Service Systems and Service Management (ICSSSM). IEEE, 2013. http://dx.doi.org/10.1109/icsssm.2013.6602541.

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Santos, Hortense, Rui Dias, Paula Heliodoro, and Paulo Alexandre. "TESTING THE EMPIRICS OF WEAK FORM OF EFFICIENT MARKET HYPOTHESIS: EVIDENCE FROM LAC REGION MARKETS." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.2020.91v.

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The new coronavirus disease (Covid-19) evolved quickly from a regional health outbreak to a global collapse, stopping the global economy in a unprecedented way, creating uncertainty and chaos in the financial markets. Based on these events, it is intended in this paper to test the persistence of profitability in the financial markets of Argentina, Brazil, Chile, Colombia, Peru and Mexico, in the period between January 2018 to July 2020. In order to perform this analysis where undertaken different approaches in order to analyze if: (i) the financial markets of Latin America are efficient in the
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Santos, Hortense, Rui Dias, Paula Heliodoro, and Paulo Alexandre. "TESTING THE EMPIRICS OF WEAK FORM OF EFFICIENT MARKET HYPOTHESIS: EVIDENCE FROM LAC REGION MARKETS." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.2020.91.

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The new coronavirus disease (Covid-19) evolved quickly from a regional health outbreak to a global collapse, stopping the global economy in a unprecedented way, creating uncertainty and chaos in the financial markets. Based on these events, it is intended in this paper to test the persistence of profitability in the financial markets of Argentina, Brazil, Chile, Colombia, Peru and Mexico, in the period between January 2018 to July 2020. In order to perform this analysis where undertaken different approaches in order to analyze if: (i) the financial markets of Latin America are efficient in the
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Manuel, Maria, Paula Heliodoro, Rui Dias, and Paulo Alexandre. "THE IMPACT OF COVID-19 ON THE SECURITIES AND EQUITY MARKETS OF PORTUGAL AND EDP: AN ECONOPHYSICS APPROACH." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.13.

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The Efficient Market Hypothesis (EMH), is one of the most important hypotheses in the financial economy, which argues that yields have no memory (correlation), which implies that agents cannot have abnormal returns in the financial markets, base arbitration operations. This essay intends to investigate the efficiency, in its weak form, in the stock and bond markets of Portugal and EDP, in the period from December 31, 2019, to August 10, 2020. With the purpose of achieving such an analysis, whether: (i) with the evolution of the global pandemic (Covid-19) the Portuguese and EDP stock and bond m
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Silva, Rita, Rui Dias, Paula Heliodoro, and Paulo Alexandre. "RISK DIVERSIFICATION IN ASEAN-5 FINANCIAL MARKETS: AN EMPIRICAL ANALYSIS IN THE CONTEXT OF THE GLOBAL PANDEMIC (COVID-19)." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.s.p.2020.15.

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The World Health Organization (WHO) has designated the new coronavirus infection as a global pandemic, based on the risk of contagion, and the number of confirmed cases in more than 195 countries. COVID-19 has an intense impact on the global economy, resulting from uncertainty and pessimism, with adverse effects on financial markets. Due to these events, this essay aims to estimate if the portfolio’s diversification is feasible in the financial markets of Indonesia, Malaysia, Philippines, Singapore, and Thailand (ASEAN-5), in the context of the global pandemic (Covid-19), regarding the period
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Arribas, Iván, Jairo González-Bueno, Francisco Guijarro, and Javier Oliver. "Impact of foreign exchange risk on investment portfolio performance in Latin American stock indexes." In Business and Management 2016. VGTU Technika, 2016. http://dx.doi.org/10.3846/bm.2016.15.

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This article aims to analyze whether investing in international assets, and fluctuations in their own currencies, allow the possibility of structuring diversified investment portfolios that would not only maximize the expected return, but also minimize risk. For this,it is evaluated the impact of currency risk on the profitability of investment portfolios in the stock indexes in Argentina, Brazil, Chile, Colombia, Mexico and Peru from the point of view 6 investors (one American and five located in each of these countries) during the period 2002–2014.
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Halsband, Adam. "Generating Renewable Electric Power and Reducing Carbon Footprint by Converting Low-Grade Heat to Electrical Energy." In 18th Annual North American Waste-to-Energy Conference. ASMEDC, 2010. http://dx.doi.org/10.1115/nawtec18-3517.

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Recent technological developments in expander design and next generation refrigerants have made implementation of the Organic Rankine Cycle (ORC) a viable strategy for converting low grade heat into valuable amounts of recoverable, green electrical power. This green process reduces the typical plants carbon footprint. A brief review of the technical drivers of a typical ORC design will be followed with examples of waste heat energy sources in a typical 50 MMGPY biofuels plant. A Case History will be presented for potential energy sources to drive the process that will include 1.) 15 psig steam
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Wagle, Vikrant, Abdullah Yami, Michael Onoriode, Jacques Butcher, and Nivika Gupta. "Low ECD High Performance Invert Emulsion Drilling Fluids: Lab Development and Field Deployment." In SPE/IADC Middle East Drilling Technology Conference and Exhibition. SPE, 2021. http://dx.doi.org/10.2118/202115-ms.

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Abstract The present paper describes the results of the formulation of an acid-soluble low ECD organoclay-free invert emulsion drilling fluid formulated with acid soluble manganese tetroxide and a specially designed bridging package. The paper also presents a short summary of field applications to date. The novel, non-damaging fluid has superior rheology resulting in lower ECD, excellent suspension properties for effective hole cleaning and barite-sag resistance while also reducing the risk of stuck pipe in high over balance applications. 95pcf high performance invert emulsion fluid (HPIEF) wa
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Reports on the topic "Expected stock returns"

1

Pastor, Lubos, and Robert Stambaugh. Liquidity Risk and Expected Stock Returns. National Bureau of Economic Research, 2001. http://dx.doi.org/10.3386/w8462.

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Parker, Jonathan. Consumption Risk and Expected Stock Returns. National Bureau of Economic Research, 2003. http://dx.doi.org/10.3386/w9548.

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Guo, Hui, and Robert Savickas. Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns. Federal Reserve Bank of St. Louis, 2003. http://dx.doi.org/10.20955/wp.2003.028.

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Gomes, Joao, Leonid Kogan, and Motohiro Yogo. Durability of Output and Expected Stock Returns. National Bureau of Economic Research, 2007. http://dx.doi.org/10.3386/w12986.

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Jagannathan, Ravi, and Binying Liu. Dividend Dynamics, Learning, and Expected Stock Index Returns. National Bureau of Economic Research, 2015. http://dx.doi.org/10.3386/w21557.

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Gulen, Huseyin, Yuhang Xing, and Lu Zhang. Value versus Growth: Time-Varying Expected Stock Returns. National Bureau of Economic Research, 2010. http://dx.doi.org/10.3386/w15993.

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Guo, Hui, and Robert Savickas. On the Cross Section of Conditionally Expected Stock Returns. Federal Reserve Bank of St. Louis, 2003. http://dx.doi.org/10.20955/wp.2003.043.

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Hodrick, Robert. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement. National Bureau of Economic Research, 1991. http://dx.doi.org/10.3386/t0108.

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Campbell, Sean, and Francis Diebold. Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence. National Bureau of Economic Research, 2005. http://dx.doi.org/10.3386/w11736.

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Bali, Turan, Nusret Cakici, and Robert Whitelaw. Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog? National Bureau of Economic Research, 2013. http://dx.doi.org/10.3386/w19460.

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