Sentences with phrase «return predictability»

«Does Academic Research Destroy Stock Return Predictability?»

«The Dog That Did Not Bark: A Defense of Return Predictability.»

We also explore the technique of separating yield metrics by payout percentage as a way to enhance return predictability.

This isn't totally etched in stone though, as Ang and Bekaert (2007) found the excess return predictability by the dividend yield is not statistically significant or robust.

It's called An Alternative to Fama's Explanation of Short - Term Price Changes That Also Fits Shiller's Finding of Long - Term Return Predictability.

In their May 2012 paper entitled «Adaptive Asset Allocation: A Primer», Adam Butler, Michael Philbrick and Rodrigo Gordillo backtest a progression of strategies culminating in an Adaptive Asset Allocation (AAA) strategy that incorporates return predictability from relative momentum (last 120 trading days, about six months), volatility predictability from recent volatility (last 60 trading days) and pairwise correlation predictability from recent correlations (last 250 trading days).

David Rapach, Jack K. Strauss, and Guofu Zhou - International Stock Market Return Predictability (Journal of Finance, Volume 68, Issue 4, August 2013)

Substantial evidence supports factor return predictability, yet evidence also indicates that investors are not reaping, to the greatest extent possible, the excess returns commensurate with such knowledge.

Cohen, Polk, and Vuolteenaho (2003) demonstrate that about 55 % of cross-sectional variation in P / B reflects future differences in profitability among companies, about 25 % reflects future variations in P / B among companies, and about 20 % reflects future return predictability.

First, however, it is useful to understand the source of this return predictability.

In the November 2015 version of their paper entitled «Stock Return Predictability and Investor Sentiment: A High - Frequency Perspective», Licheng Sun, Mohammad Najand and Jiancheng Shen measure the predictive power of half - hour changes in investor sentiment for subsequent half - hour U.S. stock market returns during the trading day.

The formula, shown in the table below, encourages capital discipline and improved capital return predictability.

In their May 2012 paper entitled «Adaptive Asset Allocation: A Primer», Adam Butler, Michael Philbrick and Rodrigo Gordillo backtest a progression of strategies culminating in an Adaptive Asset Allocation (AAA) strategy that incorporates return predictability from relative momentum (last 120 trading days, about six months), volatility predictability from recent volatility (last 60 trading days) and pairwise correlation predictability from recent correlations (last 250 trading days).

Not exact matches

«I think Morningstar ratings... give investors comfort, but comfort doesn't have anything to do with the predictability of future returns.»

In their January 2018 paper entitled «Bitcoin: Predictability and Profitability Via Technical Analysis», Andrew Detzel, Hong Liu, Jack Strauss, Guofu Zhou and Yingzi Zhu investigate the use of 5 - day, 10 - day, 20 - day, 50 - day or 100 - day SMAs to predict Bitcoin returns.

The reasonable long - term predictability of nominal bond returns based on their starting yields.

In their April 2017 paper entitled «Predicting Relative Returns», Valentin Haddad, Serhiy Kozak and Shrihari Santosh apply principal component analysis to assess the predictability of premiums for published asset pricing anomalies spanning stocks, U.S. Treasuries and currencies.

They can develop farm plans and expect returns based on the predictability.

Despite Leicester's unexpected success last season there has been a return to predictability where the sole objective of 70 % of clubs is merely to survive to live another year in the money generating environment of the top flight.

The first, Value Matters: Predictability of Stock Index Returns, by Natascia Angelini, Giacomo Bormetti, Stefano Marmi, and Franco Nardini examines the ability of the CAPE to predict long - run stock market performance over several different periods in developed markets like the -LSB-...]

The predictability of returns becomes better and better in the later years.

Fixed annuities earn a guaranteed † rate of return over the life of the contract, and offer contract owners the predictability of a guaranteed income stream and a way to grow assets without exposure to market volatility.

When investing in solid dividend stocks with sustainable cash distributions, regular dividend payments provide stability and predictability to returns.

100 % Predictability One other benefit bonds offer is what I call the MEAR, or minimum expected annual return.

Juicy Excerpt # 1: I know that there is an extensive literature about the predictability of long - term stock returns dating back to Campbell and Shiller's work in the mid-1990s.

Generally, just as in the case of factors, we see that aggregate valuation is a slightly better predictor of subsequent returns compared to P / B, but both show quite strong predictability.

In the July 2010 version of their paper entitled «Hedge Fund Predictability Under the Magnifying Glass: The Economic Value of Forecasting Individual Fund Returns», Doron Avramov, Laurent Barras and Robert Kosowski investigate whether investors can exploit the predictability of individual hedgePredictability Under the Magnifying Glass: The Economic Value of Forecasting Individual Fund Returns», Doron Avramov, Laurent Barras and Robert Kosowski investigate whether investors can exploit the predictability of individual hedge fund rReturns», Doron Avramov, Laurent Barras and Robert Kosowski investigate whether investors can exploit the predictability of individual hedgepredictability of individual hedge fund returnsreturns.

For investors concerned about rising interest rates, a rules - based, laddered strategy may provide investors with predictability of income and return.

This shows the degree of predictability from early returns.

Investing is not just about high returns; it's also about safety and predictability.

Such killjoys could include anti-trust or other negative government action, stockholder disapproval, withholding of tax rulings, etc... However, the predictability coupled with a short holding period produces quite decent annual rates of return.

I wanted to limited risk because my income is low (small factory worker) and I wanted some predictability of expected returns.

Future energies will be directed to determining how predictable stock returns are and what strategies make best use of predictability.

However, the predictability coupled with a short holding period produces quite decent average annual rates of return after allowance for the occasional substantial loss.

We're trying to create a compounding machine that will be robust and durable for at least an entire investing life, one that will provide equity - like returns with some measure of reliability and predictability over time, one whose income will rise.

Juicy Excerpt # 1: I know that there is an extensive literature about the predictability of long - term stock returns dating back to Campbell...

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The first, Value Matters: Predictability of Stock Index Returns, by Natascia Angelini, Giacomo Bormetti, Stefano Marmi, and Franco Nardini examines the ability of the CAPE to predict long - run stock market performance over several different periods in developed markets like the U.S., Belgium, France, Germany, Japan, the Netherlands, Norway, Sweden and Switzerland.

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Likewise, returning to the analysis of the law through theorists such as Fuller and Waldron, the clear manifestation of its content affords individuals the critical capacity to apply the law to their own behaviour through self - governance, and lends stability and predictability to the lives of citizens in a manner that underscores their dignity as legal subjects capable of self - determination.

As the number of class actions managed continued to rise, companies also returned to alternative fee arrangements, seeking budget predictability and efficiency.

«Increasingly, clients are demanding more «value» in return for their legal spend, and by value they mean greater efficiency, predictability and cost effectiveness in the delivery of legal services.

Life Happens says a whole life insurance policy might be a fit for someone who likes predictability over time, since whole life offers death benefit guarantees, guaranteed rates of return and fixed premiums.