On the predictability of common stock returns: world-wide evidence
Author: Hawawini, Gabriel ; Keim, Donald B.INSEAD Area: FinanceIn: Handbooks in operations research and management sciences (vol. 9) by R. A. Jarrow; V. Maksimovic and W. T. Ziemba; Elsevier, 1995 Language: EnglishDescription: p. 497-544.Type of document: INSEAD ChapterNote: Please ask us for this itemAbstract: In this chapter we examine recent empirical findings on the predictability of stock returns. These findings document persistent cross-sectional and time series patterns in returns that are not predicted by extant theory. As a result, such empirical regularities are often classified as anomalies. The chapter proceeds as follows. Section 2 discusses cross-sectional returns predictability by focusing on the cross-sectional relation between returns and size, earnings-price ratios, and price-book ratios. Section 3 discusses seasonal patterns in returns relating to calendar turning points such as the turn of the year, beginning of the week, and turn of the month. Section 4 covers the autocorrelation of individual security and portfolio returns measured over short and long horizons. Section 5 examines the evidence on predicting returns with ex-ante observable variables. The paper concludes with a brief summary in section 6| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Digital Library | Available | BC000656 |
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In this chapter we examine recent empirical findings on the predictability of stock returns. These findings document persistent cross-sectional and time series patterns in returns that are not predicted by extant theory. As a result, such empirical regularities are often classified as anomalies. The chapter proceeds as follows. Section 2 discusses cross-sectional returns predictability by focusing on the cross-sectional relation between returns and size, earnings-price ratios, and price-book ratios. Section 3 discusses seasonal patterns in returns relating to calendar turning points such as the turn of the year, beginning of the week, and turn of the month. Section 4 covers the autocorrelation of individual security and portfolio returns measured over short and long horizons. Section 5 examines the evidence on predicting returns with ex-ante observable variables. The paper concludes with a brief summary in section 6
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