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Expected Stock Returns (expected + stock_return)

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

Selected Abstracts

Structural Changes in Expected Stock Returns Relationships: Evidence from ASE

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2006
Evangelos Karanikas
Abstract:, This paper suggests a recursive application of Fama and MacBeth's (1973) testing procedure to assess the significance of macroeconomic factors and firm-specific effects priced in explaining the cross-sectional variation of expected stock returns over time. The paper applies the suggested testing procedure to investigate the source of risks of the Athens Stock Exchange (ASE). Among the variables examined, it finds out that the changes in the short term interest rates and firm size can explain a significant proportion of the variation of the ASE individual returns. The paper argues that the significance of interest rate changes can be associated with monetary policy changes introduced by the Greek authorities after the mid-nineties. These changes were focused on targeting interest rates, instead of monetary aggregates. [source]

Book/market fluctuations, trading activity, and the cross-section of expected stock returns

REVIEW OF BEHAVIORAL FINANCE (ELECTRONIC), Issue 1-2 2009
Amber Anand
Abstract We analyze trading activity accompanying equities' switches from "growth" (low book-to-market ratios (BMRs)) to "value" (high BMRs), and vice versa. We find that a large BMR increase, that is a shift from growth to value, is accompanied by a strongly negative small order imbalance (OIB). Large OIB exhibits weaker patterns across stocks that experience large changes in book/market. The evidence indicates that growth-to-value shifts are more strongly related to small traders than large ones. The interaction of BMRs with order flows plays a crucial role in return predictability. Specifically, the predictive ability of BMRs for future returns is significantly enhanced for those stocks that have experienced book/market increases as well as high levels of net selling by way of small orders. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Average Returns, B/M, and Share Issues

THE JOURNAL OF FINANCE, Issue 6 2008
EUGENE F. FAMA
ABSTRACT The book-to-market ratio (B/M) is a noisy measure of expected stock returns because it also varies with expected cashflows. Our hypothesis is that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns. The tests support this hypothesis, with results that are largely but not entirely similar for Microcap stocks (below the 20th NYSE market capitalization percentile) and All but Micro stocks (ABM). [source]

Cross-Sectional Tests of Multifactor CCAPMs using Conditional Moments and Time-Series Restrictions,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009
Jinyong Kim
Abstract Two different methods are used to evaluate the performance of the consumption-based asset pricing models to explain the cross-section of expected stock returns in conditional moments: one is to scale the returns, and the other is to model time-varying factor loadings, using instrument variables. Maximum correlation portfolios are constructed to directly impose restrictions on the time-series intercepts, especially in a model whose factors are not returns. The empirical results are as follow: the consumption-based models perform no better than the standard CAPM; adding the return on human capital as an additional risk factor does not help explain the cross-section; and the Fama-French three-factor model shows the best ability to lower the pricing error. [source]