Prediction of stock returns has always been one of the most important issues in finance. Investors have attracted to use of Fama-French Five-Factor Model (FFFFM) as one of the powerful methods for pricing financial assets and predicting the stock returns. This research investigates the predictability of stock returns by including some important firms features namely cash holdings, dividend rate...

We provide evidence that associations between realized returns and common risk proxies (factor betas and implied cost of equity estimates) vary with properties of the sample returns distribution used to estimate those associations. We consider two forms of non-random sampling from a reference distribution of realized returns for all CRSP firms with at least 12 consecutive monthly returns during...

T his paper ascertains the extent of mispricing in equity portfolios, mispricing-divestment relation, and the role of African equities as risk diversification strategies during commodity market turbulence. Following Baur and Lucey (2010), one identifies an arbitrary commodity market crisis to be 1%, 5%, and 10% declining moments in returns. However, their approach is extended by usin...

Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The proportion of daily returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, we model equity price and exchange rate behavior based on a concept from microstructure– order flow. The international order flows are derived from belief changes of different...

We provide empirical evidence that investors are influenced by their coworkers when they make equity investment decisions. Using a rich dataset of 401(k) plans, we show that individuals are likely to increase (decrease) their risky share when they have lower (higher) equity exposure than their coworkers in the past period. The effect is especially strong when the difference of equity exposure i...

The banks’ response to their changes in leverage ratios is examined and evaluated in this paper. This reaction can be interpreted as if the coefficient of total debts to equity (lev1) and total assets to equity (lev2) are positive as anticipated in the banking network of Iran. The paper uses data from 31 Iranian banks’ annual databases during the course of 2006-13 in order to estimate an empiri...

Private equity is still a relatively young asset class, with some unique characteristics. One feature is the very irregular timing of cashflows, and a consequence of this is that private equity relies on measures of returns that are not standard in other asset classes. As such, new investors can be unclear or unaware of the differences between the common methods for measuring private equity per...

We use information contained in yield spreads to recover investors’ ex ante required rates of return on corporate securities, and then use these ex ante returns to study the pricing of risky assets. Differently from the standard approach, our asset pricing tests do not rely on the use of ex post average equity returns as proxies for expected equity returns. We Þnd that: (i) the market beta play...

In this paper we provide evidence that equity returns lead credit protection returns at daily and weekly frequencies, while credit protection returns do not lead equity returns. Our results indicate that informed traders are primarily active in the equity market rather than the CDS market. These findings are consistent with standard theories of market selection by informed traders in which mark...

The first section of this study tests an investment strategy of buying non-IPO (seasoned) equity REITs as opposed to purchasing equity REIT IPOs. 'Seasoned', as defined in this study, is an interval of time after the REIT IPO date. To test this investment strategy, monthly returns on an equally-weighted index of 66 equity REITs were analyzed. These equity REITs traded on the major stock exchang...