In the options market, using the volume-weighted average moneyness level, and explores its market-wide predictability consistent with the existing literature, i find that option-implied sentiment is a strong in- and out-of-sample predictor of stock market returns, both at short and long investment horizons. Essays on information diffusion and stock markets the first chapter examines how non-uniform information diffusion through distinct networks segments us financial markets this predictability is limited to when firms share a director and is not driven by industry or previously identified economic links between firms. Market the first essay, “credit conditions and expected stock returns,” analyzes the predictability of us aggregate stock returns using a measure of credit conditions standards the analysis reveals that standards is a strong predictor of stock returns at a business cycle frequency, especially in the post- 1990 data period. Studying predictability and seasonality in the cross-section of stock returns the three essays in this thesis build on each others to contribute to the literature on cross-sectional variation in stock returns, market efficiency, and liquidity the first chapter starts from the stylized fact that some stocks tend to. Keyword [en] time-varying return predictability, tests for jumps, international financial markets, market structure, common trading platform, integration, time- varying correlation, c-garch, trust, portfolio diversification, stock market participation. This sample stock market predictability research paper is published for educational and informational purposes only like other free research read more.
Stock market prediction is the act of trying to determine the future value of a company stock or other financial instrument traded on an exchange the successful prediction of a stock's future price could yield significant profit the efficient-market hypothesis suggests that stock prices reflect all currently available information. Essays on stock return predictability: novel measures based on technology spillover and firm's public announcement moreover, there is a strong lead-lag effect among firms engaging in innovative activities: the stock prices of firms in more isolated technology spaces react more slowly to new information than do the. C a s t essays on the currency effect on stock market relationships and stock return forecast olugbenga olufeagba 32 the currency effect and the short-term predictability of stock returns 7 33 currency effect on the long-run relationship between the stock market and.
Abstract this thesis is organized in three self-contained projects which model predictability in both advanced and emerging stock markets and attempt to exploit it via construction of appropriate trading strategies the objectives of this research are: 1) to model mean reversion in developed stock markets and re- assess the. Schiller, alexander, essays on asset pricing and the macroeconomy with limited stock market participation (2016) asset prices in a general equilibrium model featuring limited stock market participation correlated but include a persistent predictable component that is highly correlated across.
That momentum is not a general feature of the uk stock market, but type of predictability a number of theoretical models of investor behaviour have been proposed to explain these serial correlation properties in stock prices daniel strategy) for each of these 64 strategies a total of eight summary statistics are shown. An understanding of market behaviour helps in guiding both policy and trading decisions the main objective of this thesis is to assess the predictability, spillovers and determinants of stock returns in south africa stock returns are determined by a number of financial and macroeconomic variables including valuation ratios.