scholarly journals Stock Return Predictability: The Role of Inflation and Threshold Dynamics

2016 ◽  
Author(s):  
David G. McMillan
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Threshold Dynamics ◽  
Stock Return Predictability

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 International stock return predictability: Is the role of U.S. time-varying?

Empirica ◽  
2015 ◽  
Vol 44 (1) ◽  
pp. 121-146 ◽  
Author(s):  
Goodness C. Aye ◽  
Mehmet Balcilar ◽  
Rangan Gupta
Keyword(s):  
Stock Return ◽  
Return Predictability ◽  
Time Varying ◽  
Stock Return Predictability

International Stock Return Predictability: What Is the Role of the United States?

2013 ◽  
Vol 68 (4) ◽  
pp. 1633-1662 ◽  
Author(s):  
DAVID E. RAPACH ◽  
JACK K. STRAUSS ◽  
GUOFU ZHOU
Keyword(s):  
United States ◽  
Stock Return ◽  
The United States ◽  
Return Predictability ◽  
Stock Return Predictability
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