Price-Path Convexity, Extrapolation, and Short-Horizon Return Predictability

2021 ◽  
Author(s):  
Zhi Da ◽  
Huseyin Gulen ◽  
Michael Woeppel
Keyword(s):  
Return Predictability ◽  
Short Horizon

Short-Horizon Return Predictability in International Equity Markets

2010 ◽  
Vol 45 (2) ◽  
pp. 469-484 ◽  
Author(s):  
Abul Shamsuddin ◽  
Jae H. Kim
Keyword(s):  
Equity Markets ◽  
Return Predictability ◽  
International Equity Markets ◽  
International Equity ◽  
Short Horizon

- Short-Horizon Return Predictability and Oil Prices

Commodities ◽  
2015 ◽  
pp. 336-371
Keyword(s):  
Oil Prices ◽  
Return Predictability ◽  
Short Horizon

Consumer expectations and short-horizon return predictability

2007 ◽  
Vol 31 (10) ◽  
pp. 3102-3124 ◽  
Author(s):  
Egon Kalotay ◽  
Philip Gray ◽  
Samantha Sin
Keyword(s):  
Return Predictability ◽  
Consumer Expectations ◽  
Short Horizon

Short-horizon return predictability and oil prices

2012 ◽  
Vol 12 (12) ◽  
pp. 1909-1934 ◽  
Author(s):  
Jaime Casassus ◽  
Freddy Higuera
Keyword(s):  
Oil Prices ◽  
Return Predictability ◽  
Short Horizon

Disclosure quantity and the efficiency of price discovery

2016 ◽  
Vol 15 (2) ◽  
pp. 122-143 ◽  
Author(s):  
Dennis Chung ◽  
Karel Hrazdil ◽  
Nattavut Suwanyangyuan
Keyword(s):  
Information Disclosure ◽  
Price Discovery ◽  
Stock Exchange ◽  
Empirical Support ◽  
Return Predictability ◽  
Annual Reports ◽  
Toronto Stock Exchange ◽  
Content Type ◽  
Short Horizon ◽  
Available Information

Purpose The purpose of this paper is to investigate the effect of the information disclosure quantity on the pricing efficiency of stocks. Design/methodology/approach Using a sample of large and actively traded Canadian companies listed on the Toronto Stock Exchange, the authors utilize annual reports filed on system for electronic document analysis and retrieval (SEDAR) between 2003 and 2013 to estimate the amount of publicly available information and find that the length and size of annual reports are important determinants of short-horizon return predictability from historical order flows, which is an inverse indicator of market efficiency. Findings The results show that longer and larger annual reports are associated with reduced information asymmetry, lower cost of immediacy, higher trading activity, and an overall improvement in the efficiency of price discovery. The results are robust to the inclusion of controls for various determinants of short-horizon return predictability, such as trading costs, volatility, informational effects and other firm-specific characteristics. Research Limitations/implications Collectively, the findings provide empirical support for the benefits of detailed corporate disclosure in Canada. Originality/value This is the first study to utilize the short-horizon return predictability approach to evaluate the efficiency of price discovery in relation to the amount of information disclosure.

scholarly journals Short Horizon Return Predictability di Pasar Modal Indonesia

2019 ◽  
Vol 1 (1) ◽  
pp. 41-54
Author(s):  
Erman Denny Arfianto ◽  
Ivan Irawan
Keyword(s):  
Stock Prices ◽  
Trading Volume ◽  
Positive Impact ◽  
Linear Regression Analysis ◽  
Return Predictability ◽  
Price Impact ◽  
Short Term ◽  
Intraday Data ◽  
Short Horizon ◽  
Effective Spread

Purpose- This study aims to examine the effect of effective spread, price impact, trading volume, stock prices, and volatility of returns on the predictability of short-term returns (short horizon return predictability). Methods- This research offers a new approach perspective which is a market microstructure with intraday data to measure short horizon return predictability as an efficient market inversion. The sample in this study was 64 non-financial companies listed on the KOMPAS100 Index during October 2017-March 2018. Intraday data used using the 5-minute frequency obtained from Bloomberg. This study uses multiple linear regression analysis. Finding- This study found that price impact, trading volume, stock prices, and volatility have a positive impact on the predictability of long-term returns. This study also found that effective spread does not have a significant impact on the predictability of short-term returns.

Time-Varying Short-Horizon Predictability

2008 ◽  
Author(s):  
Sam James Henkel ◽  
J. Spencer Martin ◽  
Federico Nardari
Keyword(s):  
Time Varying ◽  
Short Horizon

Out-of-Sample Industry Return Predictability: Evidence from a Large Number of Predictors

2011 ◽  
Author(s):  
David Rapach ◽  
Jack Strauss ◽  
Jun Tu ◽  
Guofu Zhou
Keyword(s):  
Return Predictability ◽  
Out Of Sample
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