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Future Stock Returns (future + stock_return)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Discussion of The Relation Between Incremental Subsidiary Earnings and Future Stock Returns in Japan

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2001
Peter F. PopeArticle first published online: 3 MAR 200
First page of article [source]

Monetary Policy and the Stock Market: Theory and Empirical Evidence

JOURNAL OF ECONOMIC SURVEYS, Issue 4 2001
Peter Sellin
This paper gives a comprehensive review of the literature on the interaction between real stock returns, inflation, and money growth, with a special emphasis on the role of monetary policy. This is an area of research that has interested monetary and financial economists for a long time. Monetary economists have been interested in the question whether money has any effect on real stock prices, while financial economists have investigated whether equity is a good hedge against inflation. Empirical studies show that money can be helpful in predicting future stock returns. Empirical evidence also suggest that equity is not a good hedge against inflation in the short run but may be so in the long run. The short-run negative relation between stock returns and inflation can easily be explained by theoretical models. If the central bank conducts a countercyclical monetary policy this will result in a negative relation between inflation and stock returns, while if it conducts a procyclical policy we could observe a positive relation. According to both theoretical and empirical studies investors receive an inflation risk premium for holding equity. [source]

Supply and Demand Shifts in the Shorting Market

THE JOURNAL OF FINANCE, Issue 5 2007
LAUREN COHEN
ABSTRACT Using proprietary data on stock loan fees and quantities from a large institutional investor, we examine the link between the shorting market and stock prices. Employing a unique identification strategy, we isolate shifts in the supply and demand for shorting. We find that shorting demand is an important predictor of future stock returns: An increase in shorting demand leads to negative abnormal returns of 2.98% in the following month. Second, we show that our results are stronger in environments with less public information flow, suggesting that the shorting market is an important mechanism for private information revelation. [source]

MONETARY POLICY INDICATORS AS PREDICTORS OF STOCK RETURNS

THE JOURNAL OF FINANCIAL RESEARCH, Issue 4 2008
David A. Becher
Abstract We explore the linkage between stock return predictability and the monetary sector by examining alternative proxies for monetary policy. Using two complementary methods, we document that failure to condition on the Fed's broad policy stance causes a substantial understatement in the ability of monetary policy measures to predict returns. Industry analyses suggest that cross-industry return differences are also linked to changes in monetary conditions, as monetary policy has the strongest (weakest) relation with returns for cyclical (defensive) industries. Overall, we find that monetary conditions have a prominent and systematic relation with future stock returns, even in the presence of business conditions. [source]