Dividend growth and return predictability: A long-run re-examination of conventional wisdom

2019 ◽  
Vol 52 ◽  
pp. 112-127 ◽  
Author(s):  
Gertjan Verdickt ◽  
Jan Annaert ◽  
Marc Deloof
2017 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Cheïma Hmida ◽  
Ramzi Boussaidi

The behavioral finance literature has documented that individual investors tend to sell winning stocks more quickly than losing stocks, a phenomenon known as the disposition effect, and that such a behavior has an impact on stock prices. We examined this effect in the Tunisian stock market using the unrealized capital gains/losses of Grinblatt & Han (2005) to measure the disposition effect. We find that the Tunisian investors exhibit a disposition effect in the long-run horizon but not in the short and the intermediate horizons. Moreover, the disposition effect predicts a stock price continuation (momentum) for the whole sample. However this impact varies from an industry to another. It predicts a momentum for “manufacturing” but a return reversal for “financial” and “services”.


2011 ◽  
Vol 46 (3) ◽  
pp. 815-839 ◽  
Author(s):  
Erik Hjalmarsson

AbstractI develop new results for long-horizon predictive regressions with overlapping observations. I show that rather than using autocorrelation robust standard errors, the standard t-statistic can simply be divided by the square root of the forecasting horizon to correct for the effects of the overlap in the data. Further, when the regressors are persistent and endogenous, the long-run ordinary least squares (OLS) estimator suffers from the same problems as the short-run OLS estimator, and it is shown how similar corrections and test procedures as those proposed for the short-run case can also be implemented in the long run. An empirical application to stock return predictability shows that, contrary to many popular beliefs, evidence of predictability does not typically become stronger at longer forecasting horizons.


2010 ◽  
Vol 11 (4) ◽  
pp. 527-544 ◽  
Author(s):  
Thomas Nitschka

Abstract Temporary fluctuations of the US consumption-wealth ratio do not only predict excess returns on the US but also international stock markets at the business cycle frequency. This finding is the reflection of a common, temporary component in national stock markets. Exposure to this common component explains up to 50% of the pairwise covariation among long-horizon returns on the G7 stock markets for the time period from 1970 to 2008. This latter finding is less pronounced in the post-1990s period.


2013 ◽  
Vol 108 (2) ◽  
pp. 409-424 ◽  
Author(s):  
Tim Bollerslev ◽  
Daniela Osterrieder ◽  
Natalia Sizova ◽  
George Tauchen

2015 ◽  
Vol 8 (1) ◽  
pp. 11-20
Author(s):  
Loren Paul Rees ◽  
Terry R. Rakes ◽  
Jason K. Deane

Baseball, like most other sports, has a set of tenets that began early and have survived virtually unquestioned.  Modern analytics gives us an opportunity to examine some of these long-held tenets to see if they were founded on solid evidence.  This research examines some common baseball wisdom through an initial study utilizing simulation.  In particular, the profiles of several baseball teams are constructed and various factors are examined by simulating ten baseball seasons under various configurations with the different teams. Contrary to conventional wisdom, a batting order where high-average hitters bat third in a lineup and the team’s best power hitter bats cleanup (fourth), for example, does not necessarily generate the most runs per game over the long run.  Moreover, high-average hitters with less power can generate more runs per game than power hitters with lesser averages.  Finally, it appears that hitters who perform well with runners in scoring position are more influential in helping their team score more runs than even more powerful or higher average hitters who do not produce as frequently in such cases.  Players with lower star profiles, but who rise to the occasion with runners in scoring position, can often be purchased by baseball clubs that have a more constrained payroll; teams that are less well-off financially may thus purchase or trade for these hitters and still field a team with a competitive level of high run production.


1967 ◽  
Vol 19 (4) ◽  
pp. 563-581 ◽  
Author(s):  
Jerome M. Gilison

With the reluctant retirement of Nikita Khrushchev, the Soviet Union entered a new phase of collective leadership. Past experience with such periods has led many Western specialists to expect that the collective leadership pattern will lead to the emergence of a single leader, who will hold preponderant power and who will seek to consolidate and strengthen that power, ultimately acquiring something approaching dictatorial authority. The assumptions of this “conventional wisdom” (to borrow a phrase from John Galbraith) are that (i) there is something inherently unstable in a collective leadership pattern, given Soviet conditions; (2) the personal ambitions and power drive of Soviet leaders prevent, in the long run, their acceptance of a situation of shared power; and (3) historical evidence of past breakdowns of collective leadership is applicable to present conditions.


Sign in / Sign up

Export Citation Format

Share Document