Stock return predictability: Using the cyclical component of the price ratio

McMillan, David G.

doi:10.1016/j.ribaf.2018.12.014

Cited by 7 publications

(2 citation statements)

References 78 publications

(99 reference statements)

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“…Furthermore, Boudry(2011) supported that REIT dividend is considerable important variation factors as dividend payout indicated the excess and healthy cash flow the firm to meet the contractual liability. Moreover, McMillan(2019) found there is relative movement between stock return and the dividend yield, the stock price contains predictive power in accelerating toward the dividend declaration. In this study there is a strong with coefficient to predict the future stock return of 2.6871 and 2.8067 for conventional and Islamic REIT stock return respectively.…”

Section: Conclusion and Discussionmentioning

confidence: 99%

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

et.al¹

2021

TURCOMAT

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The formation of Islamic capital market under the subcomponent of Islamic financial system scratch a milestones development of Islamic finance in Malaysia. The Islamic capital market operates in mirror with convention capital market in expending, deepening and broadening Malaysia financial system. Malaysia is one of the REIT markets that value both the Islamic and conventional practices, such flexibility makes the attract not only to the local investor but also Islamic investors and foreign investor. The major source that generates income for REIT is the rental of the commercial real estate invested and hold as portfolio by the REIT management company. Furthermore, Malaysia REIT is known to be defensive stocks which consist of cyclic income producing assets that has some potential of asset appreciation. On the other hand, it witnessed by the moderation of Malaysia government bond yields created a lower pressure on the REIT stock price and analyst’s report highlighted the uncertainties on global crude oil prices and inflation is main concerned to REIT investors. In addition, the revision of 2019 tax system in Malaysia furnished a long run affected the dividend payout and volatility of REIT stock price. Therefore, this impact on the REIT stock liquidity and trading volume experiencing anil liquid trading. Therefore, the impact of external forces towards the mirror of two type of Malaysia REITs is significant to the investors, policy makers and government to outline the short-run relationship and facilitate future growth. The Vector auto regression model, granger causality and variance decomposition employed in this study to analyze the mirror of two types Malaysia REIT stock return. The empirical finding shows that the variability of dividend yield is vital explanatory variables to explain the both type of REIT stock return in Malaysia followed by interest rate for Islamic REIT stock return. The mirror of conventional REIT further implicated that trading volume and global crude oil price are useful to forecasting the changes in the stock return. Nutshell, this study provides a discussion of Malaysia REIT stock return behavior and it should be given necessary attention by researchers in ensuring the newly develop Islamic REIT are competitive and stability as the conventional REIT.

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Section: Conclusion and Discussionmentioning

confidence: 99%

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

et.al¹

2021

TURCOMAT

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“…Additionally, the fact that the CAPE ratio has been able to predict two forthcoming crises, i.e. the dot-com bubble (2002) and the housing bubble (2007–2009), has made it very attractive (Philips and Kobor 2020 ; Radha 2018 ; McMillan 2019 ; Samitas, et al 2020 ).…”

Section: Introductionmentioning

confidence: 99%

On the predictive power of CAPE or Shiller’s PE ratio: the case of the Greek stock market

2021

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This paper examines the capability of the Cyclically Adjusted Price to Earnings (CAPE) or Shiller's P/E ratio, along with other relative valuation ratios such as the P/E and the P/BV, to predict future returns of the FTSE/ASE Large Cap Index, starting from the development of the index (1997) to December 2018. We have herein used several regression models in order to examine the relationship between the above ratios and the future returns of 1, 3, 5 and 10 years. We show that, while P/E and P/BV ratios are not correlated to future returns, the CAPE ratio and its variation CAPE 5, which uses real 5 year earnings, are efficient estimators of future returns. Our results imply the informational inefficiency of the Greek Stock Market.

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RETRACTED ARTICLE: Models in digital business and economic forecasting based on big data IoT data visualization technology

Quan

Yang

Luo

2021

Pers Ubiquit Comput

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Stock return predictability: Using the cyclical component of the price ratio

Cited by 7 publications

References 78 publications

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

The Mirror of Malaysia Real Estate Investment Trust Stock Return in the Short-Run Dynamics

On the predictive power of CAPE or Shiller’s PE ratio: the case of the Greek stock market

RETRACTED ARTICLE: Models in digital business and economic forecasting based on big data IoT data visualization technology

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