The Long-Run Stock Returns Following Asset Sales: A Test of the Windows of Opportunity Hypothesis

2011 ◽  
Vol 25 (3) ◽  
pp. 381-399
Author(s):  
Yong Hyeon Kim
Keyword(s):  
Stock Returns ◽  
Asset Sales ◽  
Windows Of Opportunity ◽  
Long Run

scholarly journals Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)

2021 ◽  
Vol 14 (3) ◽  
pp. 127
Author(s):  
Marco Tronzano
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Financial Crises ◽  
Stock Price ◽  
Financial Risk ◽  
Swiss Franc ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
Defensive Role ◽  
Long Run

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are documented during almost all financial crises; moreover, in line with the recent literature, the defensive role of gold and the Swiss Franc in asset portfolios is highlighted. Focusing on a new set of macroeconomic and financial series, a significant impact of these variables on stock returns correlations is found, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers and policy makers.

scholarly journals Long Run Returns Predictability and Volatility with Moving Averages

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 105 ◽  
Author(s):  
Chia-Lin Chang ◽  
Jukka Ilomäki ◽  
Hannu Laurila ◽  
Michael McAleer
Keyword(s):  
Financial Performance ◽  
Stock Returns ◽  
Moving Average ◽  
Long Run ◽  
Returns Predictability ◽  
Rolling Window ◽  
Risk Free Rate ◽  
Data Frequency ◽  
Predictability Of Returns ◽  
Free Rate

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It is found that performance improves, on average, when the rolling window is expanded and the data frequency is low. However, when the size of the rolling window reaches three years, the frequency loses its significance and all frequencies considered produce similar financial performance. Therefore, the results support stock returns predictability in the long run. The procedure takes account of the issues of variable persistence as we use only returns in the analysis. Therefore, we use the performance of MA rules as an instrument for testing returns predictability in financial stock markets.

Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ricardo Quineche
Keyword(s):  
Stock Returns ◽  
The United States ◽  
Labor Income ◽  
Left Tail ◽  
Long Run ◽  
Short Run ◽  
Excess Stock Returns ◽  
Aggregate Wealth ◽  
Risk Free Rate ◽  
The Right

Abstract This paper empirically examines the long-run relationship between consumption, asset wealth and labor income (i.e., cay) in the United States through the lens of a quantile cointegration approach. The advantage of using this approach is that it allows for a nonlinear relationship between these variables depending on the level of consumption. We estimate the coefficients using a Phillips–Hansen type fully modified quantile estimator to correct for the presence of endogeneity in the cointegrating relationship. To test for the null of cointegration at each quantile, we apply a quantile CUSUM test. Results show that: (i) consumption is more sensitive to changes in labor income than to changes in asset wealth for the entire distribution of consumption, (ii) the elasticity of consumption with respect to labor income (asset wealth) is larger at the right (left) tail of the consumption distribution than at the left (right) tail, (iii) the series are cointegrated around the median, but not in the tails of the distribution of consumption, (iv) using the estimated cay obtained for the right (left) tail of the distribution of consumption improves the long-run (short-run) forecast ability on real excess stock returns over a risk-free rate.

From Main Street to Wall Street

2021 ◽  
Author(s):  
Jesper Rangvid
Keyword(s):  
Economic Growth ◽  
Stock Market ◽  
Business Cycle ◽  
Financial Markets ◽  
Stock Returns ◽  
Economic Activity ◽  
Wall Street ◽  
Business Cycle Fluctuations ◽  
Main Street ◽  
Long Run

From Main Street to Wall Street examines the relation between the economy and the stock market. It discusses the academic theories and empirical facts, and guides readers through the fascinating interaction between economic activity and financial markets. Itexamines what causes long-run economic growth and shorter-term business-cycle fluctuations and analyses their impact on stock markets. From Main Street to Wall Street also discusses how investors can use knowledge of economic activity and financial markets to formulate expectations to future stock returns. The book relies on data, and figures and tables illustrate arguments and theories in intuitive ways.In the end, From Main Street to Wall Street helps academic scholars and practitioners navigate financial markets by understanding the economy.

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