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Weekly Returns (weekly + return)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

The Long-Lasting Momentum in Weekly Returns

THE JOURNAL OF FINANCE, Issue 1 2008
ROBERTO C. GUTIERREZ JR
ABSTRACT Reversal is the current stylized fact of weekly returns. However, we find that an opposing and long-lasting continuation in returns follows the well-documented brief reversal. These subsequent momentum profits are strong enough to offset the initial reversal and to produce a significant momentum effect over the full year following portfolio formation. Thus, ex post, extreme weekly returns are not too extreme. Our findings extend to weekly price movements with and without public news. In addition, there is no relation between news uncertainty and the momentum in 1-week returns. [source]

Mean Reversion in the Short Horizon Returns of UK Portfolios

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2001
Patricia Chelley-Steeley
This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976,1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample. [source]

Real estate and corporate valuation: an asset pricing perspective

MANAGERIAL AND DECISION ECONOMICS, Issue 7 2001
Liow Kim Hiang
Property is a significant asset in the balance sheets of some Singapore industrial/commerce firms and hotel corporations. In this research, we take on the task of examining the relationship between real estate and stock market valuation of these business firms from an asset pricing perspective. Specifically, the real estate sensitivity of ,property-intensive', non-real estate stocks is investigated in both a three-index (market, sector and property) of stock returns and in an arbitrage pricing theory (APT) framework. The APT model is further recast as a multivariate non-linear regression model with across-equation restrictions. Using weekly returns on ,property-intensive' stocks in the period 1989,1998 and three shorter-sample periods, iterated non-linear seemingly regression techniques (ITNSUR) are employed to obtain joint estimates of stock sensitivities and their associated APT risk ,prices'. The ,real estate' sensitivity is found to be systematic and priced in the APT sense of corporations being paid an ex ante premium for bearing property market risk in investing and owning properties in two of the three sample periods (1989,1991, 1992,1994). The empirical results provide some support that property is a factor in corporate valuation, and is broadly consistent with the efficient markets hypothesis. The implications for portfolio and corporate management are examined. Copyright © 2001 John Wiley & Sons, Ltd. [source]