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Trading Strategies Based on Dividend Yield : Evidence from the Taiwan Stock Market

Hsu, Ai-Chi - 2010

This study examines whether “a high dividend yield is equivalent to a high return”. For constructing a proposed portfolio, we use the panel data of listed companies' dividends in six consecutive quarters, and other financial data to estimate expected current yields, which more conform to...

Persistent link: https://www.econbiz.de/10013138783

The News Effect and Asset Pricing in Taiwan Stock Market

Lu, Ralph - 2013

applied to quantify the public news related to the listed stocks in the Taiwan Stock Market. By Referring to Demers and Vega …. The study samples are the listed stocks in the Taiwan Stock Exchange for the period from January 2004 through December … could explain the portfolios abnormal returns in the Taiwan Stock Market. The empirical results show that the news effect …

Persistent link: https://www.econbiz.de/10013086628

Forecasting the market risk premium with artificial neural networks

Oikonomikou, Leoni Eleni - 2016 - Revised version: November 2015

This paper aims to forecast the Market Risk premium (MRP) in the US stock market by applying machine learning techniques, namely the Multilayer Perceptron Network (MLP), the Elman Network (EN) and the Higher Order Neural Network (HONN). Furthermore, Univariate ARMA and Exponential Smoothing...

Persistent link: https://www.econbiz.de/10011454074

Comparing the market risk premia forecasts in JSE and NYSE equity markets

Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Persistent link: https://www.econbiz.de/10011454082

Comparing the Market Risk Premia Forecasts in JSE and NYSE Equity Markets

Oikonomikou, Leoni Eleni - 2016

Persistent link: https://www.econbiz.de/10012995704

Diversify and Purify Factor Premiums in Equity Markets

Carvalho, Raul Leote de - 2017

In this paper we consider the question of how to improve the efficacy of strategies designed to capture factor premiums in equity markets and, in particular, from the value, quality, low risk and momentum factors. We consider a number of portfolio construction approaches designed to capture...

Persistent link: https://www.econbiz.de/10012966327

A multi-factor model of heterogeneous traders in a dynamic stock market

Pyo, Dong-Jin - In: Cogent economics & finance 5 (2017) 1, pp. 1-24

This study develops an agent-based computational stock market model in which each trader’s buying and selling decisions are endogenously determined by multiple factors: namely, firm profitability, past stock price movement, and imitation of other traders. Each trader can switch from being a...

Persistent link: https://www.econbiz.de/10011887519

Two-side CVaRs and Cross-sectional Expected Stock Returns : Evidence from the Chinese Stock Market

Ling, Aifan - 2020

Recently, tail risks have attracted much attention in the literature for their role in predicting the cross-sectional expected returns of stocks. Using a modified conditional value at risk (CVaR), the extreme loss and gain of stocks can be measured using the left-tail CVaR- and the right-tail...

Persistent link: https://www.econbiz.de/10012847362

Predictability and the Cross-Section of Expected Returns : Evidence from the European Stock Market

Drobetz, Wolfgang - 2020

This paper examines the cross-sectional properties of stock return forecasts based on Fama-MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999-December 2018 period. Our estimation approach is strictly out-of-sample, mimicking an investor who...

Persistent link: https://www.econbiz.de/10012848244

Which Measure of Aggregate Implied Cost of Capital Predicts Equity Market Returns?

Cooper, Ian A. - 2016

We investigate the relative ability of two measures of the market implied cost of capital to predict aggregate equity market returns. One is Aggregate ICC, which is a weighted average of individual firms' ICC's. The other is ICC calculated using index information (Index ICC). Index ICC predicts...

Persistent link: https://www.econbiz.de/10012991578