The Effect of Operation and Market Value Efficiency on the Korean Stock Market

2015 ◽  
Vol 23 (1) ◽  
pp. 29-40 ◽  
Author(s):  
Soo-Hyun Kim
Keyword(s):  
Stock Market ◽  
Stock Return ◽  
Market Value ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Efficiency Measures ◽  
Korean Stock Market ◽  
Low Efficiency ◽  
Using Data

This paper investigates the relationship between output to input efficiency and stock return predictability in the Korean stock market. We measure the efficiency using Data Envelopment Analysis with independent outputs of sales and market value data. Sales efficiency measures the operational efficiency whereas market value efficiency measures the efficiency evaluated by the investors. Through our empirical analysis, it is found that low efficiency stocks in either measures tend to have higher future returns. However, if both efficiency measures are employed at the same time there exists a strong tendency that high operation efficient and low market value efficient stocks generate larger future returns. We find that DEA analysis for efficiency can process a cross-sectional stock return predictability in the Korean stock market.

Stock Price Jumps and Cross-Sectional Return Predictability

2013 ◽  
Vol 48 (5) ◽  
pp. 1519-1544 ◽  
Author(s):  
George J. Jiang ◽  
Tong Yao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Return Predictability ◽  
Value Premium ◽  
The Other ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Return Dynamics

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.

scholarly journals Navigating the factor zoo around the world: an institutional investor perspective

2021 ◽  
Author(s):  
Söhnke M. Bartram ◽  
Harald Lohre ◽  
Peter F. Pope ◽  
Ananthalakshmi Ranganathan
Keyword(s):  
Stock Return ◽  
Institutional Investor ◽  
Return Predictability ◽  
Investment Strategies ◽  
Fixed Income ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
The World ◽  
Cast Doubt ◽  
Asset Classes

AbstractThe literature on cross-sectional stock return predictability has documented over 450 factors. We take the perspective of an institutional investor and navigate this zoo of factors by focusing on the evidence relevant to the practicalities of factor-based investment strategies. Establishing a sound theoretical rationale is key to identifying “true” factors, and we emphasize the need to recognize data-mining concerns that may cast doubt on the relevance of many factors. From a practical investment perspective, much of the factor evidence documented by academics may be more apparent than real. The performance of many factors is dependent on the inclusion of small- and micro-cap stocks in academic studies, although such stocks would likely be excluded from the real investment universe due to illiquidity and transaction costs. Nevertheless, a parsimonious set of factors emerges in equities and other asset classes, including currencies, fixed income, and commodities. These factors can serve as meaningful ingredients to factor-based portfolio construction.

Cross-sectional stock return predictability in China

2015 ◽  
Vol 23 (7-9) ◽  
pp. 581-605 ◽  
Author(s):  
Nusret Cakici ◽  
Kalok Chan ◽  
Kudret Topyan
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Cross Sectional

Predicting short-to-medium horizon returns

2021 ◽  
pp. 251-272
Author(s):  
Jesper Rangvid
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Return Predictability ◽  
Yield Spread ◽  
Dividend Yield ◽  
Important Lesson ◽  
Stock Return Predictability ◽  
Long Run ◽  
Short Run

This chapter lays out what we know about stock return predictability on the short-to-medium horizon. It recognizes that most of the fluctuations in the stock market are unpredictable, but characterizes those that are. Another important lesson of this chapter is that stock markets are very volatile in the short run but appears to be less so in the long run. Paradoxically, this implies that it looks as if we can say a little more about the future movements in the stock market when dealing with the longer run (several years). From today until tomorrow, or next week, we can say very little. The chapter illustrates how stock returns are somewhat predictable by indicators such as the yield spread and the dividend yield.

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