Predictability and the cross section of expected returns: evidence from the European stock market
| Autor: | Christian Jasperneite, Tizian Otto, Rebekka Haller, Wolfgang Drobetz |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
040101 forestry
Transaction cost 050208 finance Information Systems and Management Index (economics) business.industry Strategy and Management 05 social sciences 04 agricultural and veterinary sciences 0502 economics and business Value (economics) Econometrics Economics 0401 agriculture forestry and fisheries Statistical dispersion Stock market Trading strategy Business and International Management Predictability business Financial services |
| Zdroj: | Journal of Asset Management. 20:508-533 |
| ISSN: | 1479-179X 1470-8272 |
| DOI: | 10.1057/s41260-019-00138-0 |
| Popis: | This paper examines the cross-sectional properties of stock return forecasts based on Fama–MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999–December 2018 period. Our estimation approach is strictly out of sample, mimicking an investor who exploits both historical and real-time information on multiple firm characteristics to predict returns. The models capture a substantial amount of the cross-sectional variation in true expected returns and generate predictive slopes close to one, i.e., the forecast dispersion mostly reflects cross-sectional variation in true expected returns. The return predictions translate into high value added for investors. For an active trading strategy, we find strong market outperformance net of transaction costs based on a variety of performance measures. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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