Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information

Yao, Juan; Gao, Jiti; Alles, Lakshman

doi:10.1016/j.pacfin.2004.08.002

Cited by 14 publications

(15 citation statements)

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“…The major categories of financial and macroeconomic variables considered by previous studies in this area are those representing the share market, money supply, industrial production and labor market in Australia (Yao et al, 2005). These variables have been previously identified within the literature as being influential when identifying future cash flows or the risk adjusted discount rate in the context of intrinsic value of shares (Chen et al, 1986).…”

Section: Data Sources and Data Transformationmentioning

confidence: 99%

“…Hence, the term spread (TSPRE t ) variable postulated to forecast changes in inflation and real output (Ang et al, 2006) is used because it measures the change in long-term rates of interest (Chen et al, 1986). In order to accommodate this macroeconomic variable, to be in line with Australian market practice, and following Valadkhani (2004) and Yao et al (2005), we define the term spread as the difference between the 10-year Commonwealth Government Bonds (LGB) 7 and 90-day Bank Accepted Bill rate (BAB90 t-1 ).…”

Section: Data Sources and Data Transformationmentioning

confidence: 99%

“…Yao et al (2005) demonstrates that the dividend-yield has a positive risk premium because investors generally view high-dividend-paying shares as being more valuable. The dividend yield is a nominal domestic influence (not adjusted for inflation) as it attracts investors who desire exposure for assets that appreciate when long-term interest rates decline.…”

Section: Data Sources and Data Transformationmentioning

confidence: 99%

“…As no monthly statistics of inflation exist in Australia, the monthly Reserve Bank of Australia's Commodity-Price Index is used to measure inflation following Yao et al (2005). This index is obtained from the Reserve Bank Australia Website (Table G2) and represents the third variable adopted.…”

Section: Data Sources and Data Transformationmentioning

confidence: 99%

See 3 more Smart Citations

The relationship between aggregate managed fund flows and share market returns in Australia

Watson¹,

Wickramanayake²

2012

Journal of International Financial Markets, Institutions and Mo

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Section: Data Sources and Data Transformationmentioning

confidence: 99%

Section: Data Sources and Data Transformationmentioning

confidence: 99%

Section: Data Sources and Data Transformationmentioning

confidence: 99%

Section: Data Sources and Data Transformationmentioning

confidence: 99%

See 2 more Smart Citations

The relationship between aggregate managed fund flows and share market returns in Australia

Watson¹,

Wickramanayake²

2012

Journal of International Financial Markets, Institutions and Mo

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“…Apesar da racionalidade dos pressupostos do mercado eficiente, há muitas razões que dificultam a sua comprovação empírica, como, por exemplo, as imperfeições do mercado, oriundas de razões políticas e econômicas. No entanto, por meio de diferentes metodologias desenvolvidas ao longo do tempo, foram identificados ativos com comportamento previsível em diferentes setores da economia (Barberis, 2000;Yao et al, 2005;Campbell e Thompson, 2008).…”

Section: Introductionunclassified

Análise da eficiência de mercado do Ibovespa: uma abordagem com o modelo autorregressivo quantílico

Müller¹,

Righi²,

Ceretta³

2015

BASE

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A ex istência de dependência nos retornos de ativos financeiros tem recebido considerável atenção na literatura de finanças, a fim de auxiliar na formulação de estratégias de retorno esperado positivo e na gestão do risco de portfólios. No entanto, a hipótese de eficiência de mercado pressupõe que as novas informações são incorporadas de forma imediata ao ativo e a dependência entre os retornos é nula ou não significativa. Tendo por base essa ideia, o objetivo desse trabalho é analisar o comportamento da dependência serial dos retornos das ações do Ibovespa, fazendo uso do modelo autorregressivo quantílico (QAR). São utilizados log-retornos diários do índice Bovespa, de 02 de janeiro de 2008 a 13 de junho de 2012. Os resultados obtidos permitem concluir que os quantis extremos estão associados a rendimentos positivos ou negativos e apresentam dependência forte e distinta entre si. Já nos quantis centrais a dependência é próxima à zero, semelhante ao modelo de mínimos quadrados ordinários (MQO). Também se identificou um efeito assimétrico dos investidores, associado ao estado de mercado e à localização no quantil. Além disso, observou-se que altos coeficientes autorregressivos quantílicos, positivos ou negativos, resultaram em coeficientes de mesmo sinal nos próximos quantis. Percebe-se, assim, que o Ibovespa se comporta de maneira distinta dos pressupostos da hipótese de eficiência de mercado na forma fraca.Palavras-chave: modelo autorregressivo quantílico, eficiência de merca do, dependência. ABSTRACTDependency on financial asset returns has received considerable attention in the finance literature in order to assist in the formulation of strategies of expected positive return and portfolio risk management. However, the market efficiency hypothesis assumes that new information is immediately incorporated to the asset and that the dependency among the returns is null or not significant. Based on this idea, this research aims to analyze the behavior of serial dependence of stock returns of the Ibovespa using the quantile autoregression model (QAR). Daily log-returns of the Bovespa Index from January 2, 2008 to June 13, 2012 have been used. The resu lts indicate that the extreme qua ntiles are associated with positive or negative returns and have a strong and distinct dependence on each other. The dependence of central quantiles is close to zero and similar to the model of ordinary least squares (OLS). The study also identified an asymmetric effect of investors, which was associated with the market state and the location in the quantile. Besides, high past positive or negative autoregressive coefficients lead to future coefficients of the same sign. It is clear, therefore, that the Ibovespa behaves differently from the assumptions of the hypothesis of market efficiency in the weak form.Keywords: quantile autoregression model, market efficiency, dependence.Este é um artigo de acesso aberto, licenciado por Creative Commons Attribution License (CC-BY 3.0), sendo permitidas reprodução, adaptação e distribuição desde q...

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Fractional Cointegration Analysis of Securitized Real Estate

Serrano

Hoesli

2010

J Real Estate Finan Econ

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This paper uses fractional cointegration analysis to examine whether long-run relations exist between securitized real estate returns and three sets of variables frequently used in the literature as the factors driving securitized real estate returns. That is, we examine whether such relationships are characterized by long memory (long-range dependence), short memory (short-range dependence), mean reversion (no long-run effects) or no mean reversion (no long-run equilibrium). The forecasting implications are also considered. Empirical analyses are conducted using data for the U.S., the U.K., and Australia. We find strong evidence of fractional cointegration between securitized real estate and the three sets of variables. Such relationships are mainly characterized by short memory although long memory is sometimes present. The use of fractional cointegration for forecasting purposes proves particularly useful since the start of the financial crisis.

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Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information

Cited by 14 publications

References 32 publications

The relationship between aggregate managed fund flows and share market returns in Australia

The relationship between aggregate managed fund flows and share market returns in Australia

Análise da eficiência de mercado do Ibovespa: uma abordagem com o modelo autorregressivo quantílico

Fractional Cointegration Analysis of Securitized Real Estate

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