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Grigoris Giannarakis,Christos Lemonakis,Asterios Sormas,Christos Georganakis
Pág. 155 - 160
The predictability of stock returns by investors has been a crucial issue updating over the time. The aim of this study is to investigate the effect of economic leading indicator of Baltic Dry Index (BDI) on stock returns of socially responsible stock in...
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Muhammad Iqbal,Buddi Wibowo
Pág. 335 - 348
Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequ...
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Chee-Ling Chin,Mohamad Jais,Sophee Sulong Balia,Ayoib Che Ahmad,Azlan Zainol Abidin
Pág. 153 - 165
Technical analysis is deemed to be a futile practice among academicians who propose efficient market hypothesis, typically the weak form market efficiency which strongly protests the application of past prices and trading volume data for prediction of fu...
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Chyi-Lun Chiou
Pág. 148 - 157
This article investigates the use of cash flow-fundamental ratio in forecasting stock market return and examines implications behind this ratio. By presuming the dynamics of cash flow-fundamental ratio I identify the relationship between economic uncerta...
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Jayen B. Patel
The January Barometer or the Other January effect suggests that January returns can predict future performance of the stock market. In this study, it is examined if any particular calendar month return can effectively be used as a monthly barometer to ac...
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João Frois Caldeira,Gulherme Valle Moura
Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr...
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Pradosh Simlai
Pág. 291 - 315
In this paper we provide a new type of risk characterization of the predictability of two widely known abnormal patterns in average stock returns: momentum and reversal. The purpose is to illustrate the relative importance of common risk factors and endo...
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Regis Augusto Ely
Pág. 571 - 584
This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates th...
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Luciano Martin Rostagno,Gilberto de Oliveira Kloeckner,João Luiz Becker
Pág. pp. 183 - 206
This paper examines the hypothesis of asst return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that ...
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