scholarly journals South African stock return predictability in the context data mining: The role of financial variables and international stock returns

2012 ◽  
Vol 29 (3) ◽  
pp. 908-916 ◽  
Author(s):  
Rangan Gupta ◽  
Mampho P. Modise
2013 ◽  
Vol 48 (5) ◽  
pp. 1519-1544 ◽  
Author(s):  
George J. Jiang ◽  
Tong Yao

AbstractWe identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.


2017 ◽  
Vol 7 (1) ◽  
pp. 33-66 ◽  
Author(s):  
Worawuth Kongsilp ◽  
Cesario Mateus

Purpose The purpose of this paper is to investigate the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Design/methodology/approach Using a broad sample of stock options traded on the American Stock Exchange and the Chicago Board Options Exchange from January 2001 to December 2010, the effect of different idiosyncratic volatility forecasting measures are examined on future stock returns in four different periods (Bear and Bull markets). Findings First, the authors find clear and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub-period both in Bear and Bull markets. Second, the cross-section firm-specific characteristics are important when it comes to stock returns forecasts, as the latter have mixed positive and negative effects on Bear and Bull markets. Third, the authors provide evidence that short selling constraints impact negatively on stock returns for only a Bull market and that liquidity is meaningless for both Bear and Bull markets after the recent financial crisis. Practical implications These results would be helpful to disclose more information on the best idiosyncratic volatility measure to be implemented in global financial crises. Originality/value This study empirically analyses the effect of different idiosyncratic volatility measures for a period that involves both the dotcom bubble and the recent financial crisis in four different periods (Bear and Bull markets) and contributes the existing literature on volatility measures, volatility risk and stock return predictability in global financial crises.


Empirica ◽  
2015 ◽  
Vol 44 (1) ◽  
pp. 121-146 ◽  
Author(s):  
Goodness C. Aye ◽  
Mehmet Balcilar ◽  
Rangan Gupta

Sign in / Sign up

Export Citation Format

Share Document