Real-time macroeconomic data and ex ante stock return predictability

2008 ◽  
Vol 17 (2) ◽  
pp. 274-290 ◽  
Author(s):  
Jörg Döpke ◽  
Daniel Hartmann ◽  
Christian Pierdzioch
Keyword(s):  
Real Time ◽  
Stock Return ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Ex Ante

Real Assets Investor Sentiment and International Stock Return Predictability

2015 ◽  
Author(s):  
Nikos C. Papapostolou ◽  
Panos K. Pouliasis ◽  
Nikos K. Nomikos ◽  
Ioannis Kyriakou
Keyword(s):  
Stock Return ◽  
Investor Sentiment ◽  
Return Predictability ◽  
Stock Return Predictability ◽  
Real Assets

Stock Price Jumps and Cross-Sectional Return Predictability

2013 ◽  
Vol 48 (5) ◽  
pp. 1519-1544 ◽  
Author(s):  
George J. Jiang ◽  
Tong Yao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Return Predictability ◽  
Value Premium ◽  
The Other ◽  
Stock Return Predictability ◽  
Cross Sectional ◽  
Return Dynamics

AbstractWe identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns to the extent that cross-sectional differences in jumps fully account for the size and illiquidity effects. Based on value-weighted portfolios, jumps also account for the value premium. On the other hand, jumps are not the cause of momentum or net share issue effects. The findings of our study shed new light on stock return dynamics and present challenges to conventional explanations of stock return predictability.

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