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Cheol-Keun Cho and Bosung Jang
This paper explores the implications of consumption heterogeneity between domestic and foreign investors on the cross-section of stock returns in a host country. We argue that foreign investors in a small open economy integrated into global financial mar...
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Marcial Messmer and Francesco Audrino
We investigate whether Lasso-type linear methods are able to improve the predictive accuracy of OLS in selecting relevant firm characteristics for forecasting the future cross-section of stock returns. Through extensive Monte Carlo simulations, we show t...
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Robin N. Romanus
Pág. 46 - 63
The purpose of this research is to help clarify the ambiguity surrounding market participants? pricing of earnings quality using one clearly observable indicator of low-quality earnings, accounting restatements. This study examines the effect pre-restate...
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Hannah Lea Hühn and Hendrik Scholz
We analyze a novel alpha momentum strategy that invests in stocks based on three-factor alphas which we estimate using daily returns. The empirical analysis for the U.S. and for Europe shows that (i) past alpha has power in predicting the cross-section o...
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Verônica de Fátima Santana,Alex Augusto Timm Rathke
Pág. 545 - 572
This research aims to compare the performance of a statistical factor asset pricing model with the Fama-French-Carhart 4-factor model. We perform a Principal Component Analysis (PCA) to extract latent risk factors using data of stocks listed on B3 from 2...
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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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Gyorgy Varga,Ricardo Dias de Oliveira Brito
Pág. 151 - 187
In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market ß and size do not play a role....
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Mohamed MAHJOUBI,Ezzeddine ABAOUB
Pág. 377 - 389
This research is a feedback to the call from Richardson et al. (2010) for more structure in researchers? forecasting frameworks. The purpose is to study the ability of three technical earnings forecasting methods (smoothing, random walk and cross-section...
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Frances Fischberg Blank,Carlos Patricio Samanez,Tara Keshar Nanda Baidya,Fernando Antonio Lucena Aiube
Pág. 163 - 199
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter....
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Lucas Lucio Godeiro
Pág. 253 - 275
The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas ...
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