Relevant bibliographies by topics / Stock market returns predictability

Contents

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

Academic literature on the topic 'Stock market returns predictability'

Author: Grafiati
Published: 22 February 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Stock market returns predictability.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Stock market returns predictability"

1

Kim, Soo-Hyun. "The Effect of Operation and Market Value Efficiency on the Korean Stock Market." Journal of Derivatives and Quantitative Studies 23, no. 1 (February 28, 2015): 29–40. http://dx.doi.org/10.1108/jdqs-01-2015-b0002.

Full text
Abstract:
This paper investigates the relationship between output to input efficiency and stock return predictability in the Korean stock market. We measure the efficiency using Data Envelopment Analysis with independent outputs of sales and market value data. Sales efficiency measures the operational efficiency whereas market value efficiency measures the efficiency evaluated by the investors. Through our empirical analysis, it is found that low efficiency stocks in either measures tend to have higher future returns. However, if both efficiency measures are employed at the same time there exists a strong tendency that high operation efficient and low market value efficient stocks generate larger future returns. We find that DEA analysis for efficiency can process a cross-sectional stock return predictability in the Korean stock market.
APA, Harvard, Vancouver, ISO, and other styles
2

Qadri, Syed Usman, Naveed Iqbal, and Syeda Shamaila Zareen. "Stock Return Predictability and Market Efficiency in Pakistan; A Role of Asian Growing Economies of India and Malaysia." ANNALS OF SOCIAL SCIENCES AND PERSPECTIVE 2, no. 2 (November 24, 2021): 257–67. http://dx.doi.org/10.52700/assap.v2i2.95.

Full text
Abstract:
The purpose of this study is to determine the predictability of the Pakistani stock market's one-day forward returns by utilizing lagged daily returns for Pakistan, India, and Malaysia from 2006 to 2016. The findings indicate that lagged Pakistani market returns significantly predict Pakistani one-day ahead market returns. However, the other two growing stock markets, India and Malaysia, show no association with one-day ahead market returns. Mostly, stock market behavior in the pre-2008 and post-2008 eras was the same, although industry return behaviour was different due to the economic crisis of 2008. However, the Pakistani stock market one-day ahead returns predict the own Pakistani lag returns due to an inefficient market and prices do not follow a random walk. As a result, investors and financial analysts can foresee and generate anomalous returns by using previous data and information. Key words: Stock Market Returns Predictability, Stock Market crash, Market efficiency
APA, Harvard, Vancouver, ISO, and other styles
3

John Camilleri, Silvio, and Christopher J. Green. "Stock market predictability." Studies in Economics and Finance 31, no. 4 (September 30, 2014): 354–70. http://dx.doi.org/10.1108/sef-06-2012-0070.

Full text
Abstract:
Purpose – The main objective of this study is to obtain new empirical evidence on non-synchronous trading effects through modelling the predictability of market indices. Design/methodology/approach – The authors test for lead-lag effects between the Indian Nifty and Nifty Junior indices using Pesaran–Timmermann tests and Granger-Causality. Then, a simple test on overnight returns is proposed to infer whether the observed predictability is mainly attributable to non-synchronous trading or some form of inefficiency. Findings – The evidence suggests that non-synchronous trading is a better explanation for the observed predictability in the Indian Stock Market. Research limitations/implications – The indication that non-synchronous trading effects become more pronounced in high-frequency data suggests that prior studies using daily data may underestimate the impacts of non-synchronicity. Originality/value – The originality of the paper rests on various important contributions: overnight returns is looked at to infer whether predictability is more attributable to non-synchronous trading or to some form of inefficiency; the impacts of non-synchronicity are investigated in terms of lead-lag effects rather than serial correlation; and high-frequency data is used which gauges the impacts of non-synchronicity during less active parts of the trading day.
APA, Harvard, Vancouver, ISO, and other styles
4

Limongi Concetto, Chiara, and Francesco Ravazzolo. "Optimism in Financial Markets: Stock Market Returns and Investor Sentiments." Journal of Risk and Financial Management 12, no. 2 (May 13, 2019): 85. http://dx.doi.org/10.3390/jrfm12020085.

Full text
Abstract:
This paper investigates how investor sentiment affects stock market returns and evaluates the predictability power of sentiment indices on U.S. and EU stock market returns. As regards the American example, evidence shows that investor sentiment indices have an economic and statistical predictability power on stock market returns. Concerning the European market instead, investigation provides weak results. Moreover, comparing the two markets, where investor sentiment of U.S. market tries to predict the European stock market returns, and vice versa, the analyses indicate a spillover effect from the U.S. to Europe.
APA, Harvard, Vancouver, ISO, and other styles
5

Dhungana, Yub Raj. "Predictability of Stock Returns on the Dhaka Stock Exchange." Batuk 6, no. 2 (July 1, 2020): 87–96. http://dx.doi.org/10.3126/batuk.v6i2.34519.

Full text
Abstract:
The study examines the predictability of index returns on the Dhaka stock market within the framework of the weak-form efficient market hypothesis using historical daily returns for a period of 1st June, 2014 to 29th May, 2020. The Jarque-Bera statistics test explored the return distribution of Dhaka Stock Exchange is non-normal. The random walk hypothesis (RWH) was tested using autocorrelation test, runs test, unit root tests(Augmented Dickey-Fuller (ADF) and, Phillip-Perron (PP) test) and variance ratio test. The results explored that all tests rejected the random walk hypothesis required by the weak-form efficient market hypothesis. This provides empirical basis to infer that the DSE is inefficient at weak-form and stock return can be predicted. The rejection of the RWH on a daily basis is possibly an indication that the weak-form inefficient characteristic of the DSE is not sensitive to return frequency.
APA, Harvard, Vancouver, ISO, and other styles
6

Shi, Huai-Long, Zhi-Qiang Jiang, and Wei-Xing Zhou. "Time-Varying Return Predictability in the Chinese Stock Market." Reports in Advances of Physical Sciences 01, no. 01 (March 2017): 1740002. http://dx.doi.org/10.1142/s2424942417400023.

Full text
Abstract:
China’s stock market is the largest emerging market in the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependencies. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic variance ratio test and the generalized spectral test. We find that the return predictability vary over time and a significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis (AMH) and have practical implications for market participants and policy makers. A predictability index can be constructed for each asset, which might help warn a crisis is in store, ease the development of the ongoing bubble, and stabilize the market.
APA, Harvard, Vancouver, ISO, and other styles
7

NE, Gyamfi, Kyei KA, and Gill R. "African Stock Markets and Return Predictability." Journal of Economics and Behavioral Studies 8, no. 5(J) (October 30, 2016): 91–99. http://dx.doi.org/10.22610/jebs.v8i5(j).1434.

Full text
Abstract:
This article re-examines the return predictability of eight African stock markets. When returns of stocks are predictable, arbitrageurs make abnormal gains from analyzing prices. The study uses a non-parametric Generalised Spectral (GS) test in a rolling window approach. The rolling window approach tracts the periods of efficiency over time. The GS test is robust to conditional heteroscedasticity and it detects the presence of linear and nonlinear dependencies in a stationary time series. Our results support the Adaptive Market Hypothesis (AMH). This is because, indices whose returns were observed to be predictable by analyzing them in absolute form and therefore weak - form inefficient showed trends of unpredictability in a rolling window.
APA, Harvard, Vancouver, ISO, and other styles
8

Peovski, Filip, Violeta Cvetkoska, Predrag Trpeski, and Igor Ivanovski. "Monitoring Stock Market Returns." Croatian operational research review 13, no. 1 (July 12, 2022): 65–76. http://dx.doi.org/10.17535/crorr.2022.0005.

Full text
Abstract:
Financial analysis plays a major role in investing the disposable income of various economic agents. Stock markets are predominantly made up of small investors with limited information and low capabilities for a suitable analysis. Researchers, as well as practitioners, are divided over the findings on the adequacy of technical analysis in investing. This paper examines the Markov chain process in the stock market to discover the essential links and probabilities for the stocks’ transition through three states of stagnation, growth, and decline (i.e., stagnant, bull, and bear markets). The subject of analysis is a randomly selected portfolio of 20 shares traded on the New York Stock Exchange. The data suggest that the portfolio relatively quickly, in four trading days, achieves equilibrium probabilities that allow a certain amount of predictability of future movements. At the same time, when analyzing the expected time intervals for the first transition, we found that the portfolio returns to a state of growth much faster than a decline. In addition, the results negate the basic habits of frequent trading, herding, and taking a short position in events of negative price fluctuations. Our research contributes towards observing regularities and stock market efficiency with a clear goal of improving expectations and technical analysis for small individual investors.
APA, Harvard, Vancouver, ISO, and other styles
9

Arfianto, Erman Denny, and Ivan Irawan. "Short Horizon Return Predictability di Pasar Modal Indonesia." Jurnal Pasar Modal dan Bisnis 1, no. 1 (September 2, 2019): 41–54. http://dx.doi.org/10.37194/jpmb.v1i1.7.

Full text
Abstract:
Purpose- This study aims to examine the effect of effective spread, price impact, trading volume, stock prices, and volatility of returns on the predictability of short-term returns (short horizon return predictability). Methods- This research offers a new approach perspective which is a market microstructure with intraday data to measure short horizon return predictability as an efficient market inversion. The sample in this study was 64 non-financial companies listed on the KOMPAS100 Index during October 2017-March 2018. Intraday data used using the 5-minute frequency obtained from Bloomberg. This study uses multiple linear regression analysis. Finding- This study found that price impact, trading volume, stock prices, and volatility have a positive impact on the predictability of long-term returns. This study also found that effective spread does not have a significant impact on the predictability of short-term returns.
APA, Harvard, Vancouver, ISO, and other styles
10

Jacobsen, Ben, Ben R. Marshall, and Nuttawat Visaltanachoti. "Stock Market Predictability and Industrial Metal Returns." Management Science 65, no. 7 (July 2019): 3026–42. http://dx.doi.org/10.1287/mnsc.2017.2933.

Full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Stock market returns predictability"

1

Yao, Juan. "A dynamic investigation into the predictability of Australian industry stock returns." Thesis, Curtin University, 2004. http://hdl.handle.net/20.500.11937/1067.

Full text
Abstract:
This thesis involved an empirical investigation of the predictability of Australian industrial stock returns using a dynamic state-space framework. The systematic risks of industrial portfolios were examined in a stochastic market- model. The systematic risks of industry portfolios are found to be stochastic processes. Most of the industry groups have time-varying systematic risks that are mean-reverting to their stable or moving long-term mean. However, the investment and financial services, alcohol and tobacco, gold, insurance and media industry groups have rather random systematic risks. The time-varying market model provides a better explanation of the portfolio returns than the single-index model since it captures the stochastic properties of market risk. Further, a Bayesian dynamic-forecasting model was employed to examine the explanatory power of a set of economic and financial variables. The unanticipated components of the term-structure variable, the interest-rate variable and the aggregate-dividend-yield variable were shown to be significant in explaining the industry portfolio excess returns. The comparison between multivariate analysis and univariate analysis strongly indicates that the correlations within industries are critical in the investigation of the predictability of returns. In the out-of-sample analysis, a maximally predicted portfolio (MPP) was constructed based on the updated economic and financial information; however, the predictability of the MPP did not exceed that of a naive forecast.Furthermore, the market timing ability associated with the predictability of the MPP was insignificant. The industry-group-rotation strategy is able to enhance the industry portfolio performance, but the predictability only contributes a small proportion of the profits. The results indicate that the industry returns contain predictive components; however, investors are less likely to exploit the existing predictability to gain excess profit. The level of predictability discovered here does not contradict market-efficiency theory.
APA, Harvard, Vancouver, ISO, and other styles
2

Wu, Ruojun. "Essays on the predictability and volatility of returns in the stock market." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2008. http://wwwlib.umi.com/cr/ucsd/fullcit?p3316421.

Full text
Abstract:
Thesis (Ph. D.)--University of California, San Diego, 2008.
Title from first page of PDF file (viewed Sept. 4, 2008). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 127-132).
APA, Harvard, Vancouver, ISO, and other styles
3

Yao, Juan. "A dynamic investigation into the predictability of Australian industry stock returns." Curtin University of Technology, School of Economics and Finance, 2004. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=15148.

Full text
Abstract:
This thesis involved an empirical investigation of the predictability of Australian industrial stock returns using a dynamic state-space framework. The systematic risks of industrial portfolios were examined in a stochastic market- model. The systematic risks of industry portfolios are found to be stochastic processes. Most of the industry groups have time-varying systematic risks that are mean-reverting to their stable or moving long-term mean. However, the investment and financial services, alcohol and tobacco, gold, insurance and media industry groups have rather random systematic risks. The time-varying market model provides a better explanation of the portfolio returns than the single-index model since it captures the stochastic properties of market risk. Further, a Bayesian dynamic-forecasting model was employed to examine the explanatory power of a set of economic and financial variables. The unanticipated components of the term-structure variable, the interest-rate variable and the aggregate-dividend-yield variable were shown to be significant in explaining the industry portfolio excess returns. The comparison between multivariate analysis and univariate analysis strongly indicates that the correlations within industries are critical in the investigation of the predictability of returns. In the out-of-sample analysis, a maximally predicted portfolio (MPP) was constructed based on the updated economic and financial information; however, the predictability of the MPP did not exceed that of a naive forecast.
Furthermore, the market timing ability associated with the predictability of the MPP was insignificant. The industry-group-rotation strategy is able to enhance the industry portfolio performance, but the predictability only contributes a small proportion of the profits. The results indicate that the industry returns contain predictive components; however, investors are less likely to exploit the existing predictability to gain excess profit. The level of predictability discovered here does not contradict market-efficiency theory.
APA, Harvard, Vancouver, ISO, and other styles
4

Kwan, Yim-Sheung Sabrina. "The predictability of long-horizon stock market returns in the UK." Thesis, London Business School (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.321802.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Li, Yanhui. "Predictability in the New Zealand Stock Market." Thesis, University of Canterbury. The Department of Economics and Finance, 2015. http://hdl.handle.net/10092/10755.

Full text
Abstract:
Recent financial literature suggests that the variation in the dividend–price ratio is significantly related to the expected returns but not to the expected dividend growth. In other words, stock returns are predictable but dividend growth is not. However, most of this evidence comes from the U.S. at the aggregate level, and there is a lack of research that relates to this topic in the New Zealand stock market. This research examines the predictive power of the dividend–price ratio using New Zealand stock market data from 1931 to 2012. The results confirm the claim in the U.S data that returns are predictable but dividend growth is not in the New Zealand stock market data. This research also investigates whether the return predictability is associated with risk-pricing or mispricing; whether the return predictability is due to the fundamental relationship among the dividend–price ratio, future returns and future dividend growth, or whether it is due to the effects of historical events; whether out-of-sample forecasts will have the same patterns as in-sample predictions; and whether individual company returns are predictable.
APA, Harvard, Vancouver, ISO, and other styles
6

Watkins, Boyce Dewhite. "Investor Sentiment, Trading Patterns and Return Predictability." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Rey, David. "Stock market predictability and tactical asset allocation /." [S.l. : s.n.], 2004. http://www.gbv.de/dms/zbw/470721448.pdf.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Thammaraks, Angsu-apa. "Stock market anomalies and return predictability on the stock exchange of Thailand." Thesis, University of Exeter, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312080.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Svensson, Louise, and Andreas Soteriou. "Testning the Adaptive Market Hypothesis on the OMXS30 Stock Index: 1986-2014 : Stock Return Predictability And Market Conditions." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-36577.

Full text
Abstract:
We evaluate the validity of the Adaptive Market Hypothesis (AMH) in a Swedish context by testing for stock return predictability on the OMXS30 stock index between 1986 and 2014 using daily returns and monthly two year moving subsamples. To our knowledge, this is the first study to evaluate the AMH in a Swedish context. Three tests for linear independence based on Lo and MacKinlay (1988) variance ratio test, namely the Chow and Denning joint test as well as Wright (2000) joint rank and sign tests are used. We also test for non-linear independence using the BDS test statistics. Presented in our findings is evidence of time-varying predictability where stock returns go through periods of return predictability and non-predictability. When evaluating the different market conditions (volatility, bull, bear, up, down and normal markets) we find that these different market conditions govern the degree of stock return predictability in different ways. Our findings support the AMH on the OMXS30 stock index and in contrast to previous research regarding market efficiency on the Swedish stock market, we do not find persistent stock return predictability over the short and long term.
APA, Harvard, Vancouver, ISO, and other styles
10

Ullah, Saif, and Waqar Ahmad. "Predictability power of firm´s performance measures to stock returns: A compatative study of emerging economy and developed economies stock market behavior." Thesis, Karlstads universitet, Fakulteten för ekonomi, kommunikation och IT, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kau:diva-7866.

Full text
Abstract:
The stock market returns are the readily available tool for the investor to make investment decision and stock market return are affected by many accounting variables. Dividend policy measures and stock return relationship has been examined from decades but result is still a dilemma. This study is a step forward to solve this dilemma by considering Karachi stock exchange, Pakistan and Nordic stock markets and conducting a comparative study to also provide a knowledge base to readers. Dividend yield ratio, dividend payout ratio and other accounting variables are examined to find their effect on stock return. Pooled least square regression has been used on the data ranging from 2005-2008 and findings are different in different markets. Dividend policy measures (dividend yield ratio and dividend payout ratio) have significant effect on the stock return and in most countries there is significant negative relationship.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Books on the topic "Stock market returns predictability"

1

Mills, T. C. Assessing the predictability of U.K. stock market returns using statistics based on multiperiod returns. Hull: University of Hull, Department of Economics and Commerce, 1991.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
2

Lewellen, Jonathan. Estimation risk, market efficiency, and the predictability of returns. Cambridge, MA: National Bureau of Economic Research, 2000.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
3

Fund, International Monetary, ed. Comovements in national stock market returns: Evidence of predictability but not cointegration. Washington, D.C: International Monetary Fund, 1996.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

McMillan, David G. Non-linear predictability of stock market returns: Evidence from non-parametric and threshold models. St. Andrews: St. Salvator's College, 2001.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

Lo, Andrew W. Maximizing predictability in the stock and bond markets. Cambridge, MA: National Bureau of Economic Research, 1995.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
6

Lo, Andrew W. Maximizing predictability in the stock and bond markets. Cambridge, Mass: Sloan School of Management, Laboratory for Financial Engineering, Massachusetts Institute of Technology, 1996.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
7

Pierdzioch, Christian. Sources of predictability of European stock markets for high-technology firms. Kiel: Kiel Institute for World Economics, 2005.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
8

Hawawini, Gabriel A. On the predictability of common stock returns: World-eide experience. Fontainbleau: INSEAD, 1992.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
9

Kandel, Shmuel. On the predictability of stock returns: An asset-allocation perspective. Cambridge, MA: National Bureau of Economic Research, 1995.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
10

Matome, Tebogo Trevor Kingsley. Return predictability investigations on four southern African stock markets, with particular emphasis on the Botswana stock exchange. Birmingham: University of Birmingham, 1997.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Book chapters on the topic "Stock market returns predictability"

1

Scheurle, Patrick. "Return Predictability and the Real Economy." In Predictability of the Swiss Stock Market with Respect to Style, 19–32. Wiesbaden: Gabler, 2010. http://dx.doi.org/10.1007/978-3-8349-8729-7_3.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Ma, Jun, Zhenhua Su, and Mark E. Wohar. "The Stock Return Predictability and Stock Price Decomposition in the Chinese Equity Market." In Experiences and Challenges in the Development of the Chinese Capital Market, 150–70. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137454638_8.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

McMillan, David G. "Returns and Dividend Growth Switching Predictability." In Predicting Stock Returns, 57–75. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-69008-7_4.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Klähn, Judith. "Theoretical Framework for Return Predictability." In The Predictabilty of German Stock Returns, 9–13. Wiesbaden: Deutscher Universitätsverlag, 2000. http://dx.doi.org/10.1007/978-3-322-81378-7_2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

McMillan, David G. "Where Does Returns and Cash-Flow Predictability Occur? Evidence from Stock Prices, Earnings, Dividends and Cointegration." In Predicting Stock Returns, 9–26. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-69008-7_2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

McMillan, David G. "Which Variables Predict and Forecast Stock Market Returns?" In Predicting Stock Returns, 77–101. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-69008-7_5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Patterson, Douglas M., and Richard A. Ashley. "Analysis of Stock Market Returns." In Dynamic Modeling and Econometrics in Economics and Finance, 95–119. Boston, MA: Springer US, 2000. http://dx.doi.org/10.1007/978-1-4419-8688-7_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

McMillan, David G. "Forecast and Market Timing Power of the Model and the Role of Inflation." In Predicting Stock Returns, 103–29. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-69008-7_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Malkamäki, Markku. "Conditional Risk and Predictability of Finnish Stock Returns." In Financial Modelling, 296–319. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-86706-4_19.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Tiwari, Swastik. "Stock Returns Information from the Stock Options Market." In Finding Alphas, 109–16. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119057871.ch20.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Stock market returns predictability"

1

Fiedor, Pawel. "Frequency effects on predictability of stock returns." In 2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). IEEE, 2014. http://dx.doi.org/10.1109/cifer.2014.6924080.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Zeng, Kailin, Ebenezer Fiifi Emire Atta Mills, Xiuzhi Zhang, and Shaolong Zeng. "Co-momentum and Stock Market Returns." In Proceedings of the Third International Conference on Economic and Business Management (FEBM 2018). Paris, France: Atlantis Press, 2018. http://dx.doi.org/10.2991/febm-18.2018.27.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Wu, Jiuye. "Stock Market Predictability Using Machine Learning Techniques." In 2022 International Conference on Machine Learning and Intelligent Systems Engineering (MLISE). IEEE, 2022. http://dx.doi.org/10.1109/mlise57402.2022.00075.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Xu, Mei, and Chao Huang. "Symbolic Analysis of Shanghai Stock Market Returns." In 2011 International Conference on Management and Service Science (MASS 2011). IEEE, 2011. http://dx.doi.org/10.1109/icmss.2011.5998564.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Zhao, Yu, Miaomiao Yang, and Chunjie Qi. "Forecast Stock Market Returns Based on Risk Anticipation." In 2008 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2008. http://dx.doi.org/10.1109/iciii.2008.72.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Glasserman, Paul, Kriste Krstovski, Paul Laliberte, and Harry Mamaysky. "Choosing news topics to explain stock market returns." In ICAIF '20: ACM International Conference on AI in Finance. New York, NY, USA: ACM, 2020. http://dx.doi.org/10.1145/3383455.3422557.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Bogdanova, Boryana, and Eleonora Stancheva-Todorova. "ML-based predictive modelling of stock market returns." In THERMOPHYSICAL BASIS OF ENERGY TECHNOLOGIES (TBET 2020). AIP Publishing, 2021. http://dx.doi.org/10.1063/5.0042805.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Horng, Wann-Jyi, and Jun-Yen Lee. "An Impact of U.S. and U.K. Stock Return Rates' Volatility on the Stock Market Returns: An Evidence Study of Germany's Stock Market Returns." In 2008 Third International Conference on Convergence and Hybrid Information Technology (ICCIT). IEEE, 2008. http://dx.doi.org/10.1109/iccit.2008.415.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Ling, Zhi-xiong, and Si-yu Chen. "Financial constraints and stock returns: Evidence from stock market in China." In 2012 International Conference on Management Science and Engineering (ICMSE). IEEE, 2012. http://dx.doi.org/10.1109/icmse.2012.6414360.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Sun, Tong, Jia Wang, Pengfei Zhang, Yu Cao, Benyuan Liu, and Degang Wang. "Predicting Stock Price Returns Using Microblog Sentiment for Chinese Stock Market." In 2017 3rd International Conference on Big Data Computing and Communications (BIGCOM). IEEE, 2017. http://dx.doi.org/10.1109/bigcom.2017.59.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Stock market returns predictability"

1

Guo, Hui. On the Out-of-Sample Predictability of Stock Market Returns. Federal Reserve Bank of St. Louis, 2002. http://dx.doi.org/10.20955/wp.2002.008.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Maggio, Marco Di, Amir Kermani, and Kaveh Majlesi. Stock Market Returns and Consumption. Cambridge, MA: National Bureau of Economic Research, January 2018. http://dx.doi.org/10.3386/w24262.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

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.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Kandel, Shmuel, and Robert Stambaugh. On the Predictability of Stock Returns: An Asset-Allocation Perspective. Cambridge, MA: National Bureau of Economic Research, January 1995. http://dx.doi.org/10.3386/w4997.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

David, Joel, and Ina Simonovska. Correlated Beliefs, Returns, and Stock Market Volatility. Cambridge, MA: National Bureau of Economic Research, August 2015. http://dx.doi.org/10.3386/w21480.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Amiti, Mary, Sang Hoon Kong, and David Weinstein. Trade Protection, Stock-Market Returns, and Welfare. Cambridge, MA: National Bureau of Economic Research, May 2021. http://dx.doi.org/10.3386/w28758.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Lewellen, Jonathan, and Jay Shanken. Estimation Risk, Market Efficiency, and the Predictability of Returns. Cambridge, MA: National Bureau of Economic Research, May 2000. http://dx.doi.org/10.3386/w7699.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Avery, Christopher, Judith Chevalier, and Richard Zeckhauser. The "CAPS" Prediction System and Stock Market Returns. Cambridge, MA: National Bureau of Economic Research, August 2011. http://dx.doi.org/10.3386/w17298.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Guidolin, Massimo, Stuart Hyde, David McMillan, and Sadayuki Ono. Non-Linear Predictability in Stock and Bond Returns: When and Where Is It Exploitable? Federal Reserve Bank of St. Louis, 2008. http://dx.doi.org/10.20955/wp.2008.010.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Edmans, Alex, Lucius Li, and Chendi Zhang. Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around The World. Cambridge, MA: National Bureau of Economic Research, July 2014. http://dx.doi.org/10.3386/w20300.

Full text
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Stock market returns predictability' for particular source types:
Journal articles Dissertations / Theses Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography