Predicting Stock Returns

Implications for Asset Pricing

David G McMillan (Autor)

Buch | Softcover

XIII, 136 Seiten

2018 | Softcover reprint of the original 1st ed. 2018
Springer International Publishing (Verlag)
978-3-319-88700-5 (ISBN)

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This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.

David G. McMillan is a Professor of Finance at the University of Stirling, UK. His research interests are in empirical financial economics, and include forecasting asset returns and volatility, modelling the linkages between asset prices and macroeconomic variables and examining the behaviour of financial and investor ratios. David has published widely on these topics in internationally respected peer-reviewed journals such as the Journal of Banking and Finance and the Oxford Bulletin of Economics and Statistics. He is a senior editor for the Cogent Economics and Finance and Cogent Business and Management journals and sits of the editorial board of several internationally respected journals, including the European Journal of Finance and the Journal of Asset Management.

Chapter 1. Introduction. Chapter 2. Where Does Returns and Cash-Flow Predictability Occur? Evidence from Stock Prices, Earnings, Dividends and Cointegration. Chapter 3. Forecasting Stock Returns - Historical Mean vs. Dividend Yield: Rolling Regressions and Time-Variation. Chapter 4. Returns and Dividend Growth Switching Predictability. Chapter 5. Which Variables Predict and Forecast Stock Market Returns? Chapter 6. Forecast and Market Timing Power of the FED Model and the Role of Inflation. Chapter 7. Summary and Conclusion.

Erscheint lt. Verlag	4.9.2018
Zusatzinfo	XIII, 136 p. 7 illus., 5 illus. in color.
Verlagsort	Cham
Sprache	englisch
Maße	148 x 210 mm
Gewicht	207 g
Themenwelt	Mathematik / Informatik ► Mathematik
	Sozialwissenschaften ► Politik / Verwaltung ► Staat / Verwaltung
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Mikroökonomie
	Wirtschaft ► Volkswirtschaftslehre ► Wirtschaftspolitik
Schlagworte	Asset Allocation • Asset price movement • Dividend growth predictability • FED model • International stock markets • Sharpe ratio with no short-selling (SHARPE) • State-space model • Stock price movements • Stock price valuation • Stock return forecasting • Stock return predictability • VAR Model
ISBN-10	3-319-88700-9 / 3319887009
ISBN-13	978-3-319-88700-5 / 9783319887005
Zustand	Neuware