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On the predictability of common stock returns: world-wide evidence

Author: Hawawini, Gabriel ; Keim, Donald B.INSEAD Area: Finance Series: Working Paper ; 92/80/FIN Publisher: Fontainebleau : INSEAD, 1992.Language: EnglishDescription: 5O p.Type of document: INSEAD Working PaperAbstract: In this chapter we examine recent empirical findings which suggest that equity returns are predictable. These findings document persistent cross-sectional and time series patterns in returns that are not predicted by extand theory. As a result, such empirical regularities are often classified as anomalies. The summary of research presented in this chapter is not an exhaustive compilation of the findings on predictable returns. Rather, we focus on the subset of the findings whose existence has proved most robust with respect to both time and number of stock markets in which they have been observed. We broadly classify the findings as being cross-sectional (e.g., size and E/P effects) or time series (e.g., return autocorrelations, seasonal return patterns) in..
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In this chapter we examine recent empirical findings which suggest that equity returns are predictable. These findings document persistent cross-sectional and time series patterns in returns that are not predicted by extand theory. As a result, such empirical regularities are often classified as anomalies. The summary of research presented in this chapter is not an exhaustive compilation of the findings on predictable returns. Rather, we focus on the subset of the findings whose existence has proved most robust with respect to both time and number of stock markets in which they have been observed. We broadly classify the findings as being cross-sectional (e.g., size and E/P effects) or time series (e.g., return autocorrelations, seasonal return patterns) in..

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