Ultra-Simple CAPE: How One Year's Data Can Predict Equity Market Returns Better Than Ten

2019 ◽  
Author(s):  
Thomas K. Philips ◽  
Ádám Kóbor
Keyword(s):  
Equity Market ◽  
Market Returns ◽  
Better Than

International Real Estate Review

2017 ◽  
Vol 20 (1) ◽  
pp. 1-21
Author(s):  
Greg MacKinnon ◽  
◽  
Jon Spinney ◽  
Keyword(s):  
Real Estate ◽  
Equity Market ◽  
Portfolio Performance ◽  
Real Estate Investment ◽  
Construction Techniques ◽  
Time Period ◽  
High Volatility ◽  
Weighted Portfolio ◽  
Portfolio Design ◽  
Better Than

We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior research. While there is some evidence of a volatility effect in the first ten years of the sample, this disappears in a more recent time period. Furthermore, we test the efficacy of low risk portfolio construction techniques and find that none perform any better than a market cap weighted portfolio ¡V although they are also no worse ¡V over any of the time periods examined. Thus, there is no evidence that using a risk-based portfolio design that emphasizes low volatility would improve portfolio performance for a REIT allocation.

The Cross-Sectional Determinants of Emerging Equity Market Returns

1996 ◽  
Author(s):  
Geert Bekaert ◽  
Claude B. Erb ◽  
Campbell R. Harvey ◽  
Tadas E. Viskanta
Keyword(s):  
Equity Market ◽  
Market Returns ◽  
Cross Sectional ◽  
The Cross

Crisis facilitates policy change, not liberalization

2016 ◽  
Vol 8 (2) ◽  
pp. 248-267 ◽  
Author(s):  
Marshall L. Stocker
Keyword(s):  
Economic Policy ◽  
Policy Change ◽  
Capital Market ◽  
Fixed Effects ◽  
Economic Freedom ◽  
Equity Market ◽  
Market Returns ◽  
Content Type ◽  
Market Sentiment ◽  
Crisis Events

Purpose Crisis events are windows of opportunity during which a country’s leaders may implement economic policy adjustments which change that country’s level of economic freedom and affect the local capital market. This paper aims to investigate the relationship between annual changes in an economic freedom index, six types of crises and equity market returns. Design/methodology/approach The author uses fixed-effects regressions on annual panel data for 69 countries during the period 2000-2010. Findings Banking, domestic debt and inflation crises decrease economic freedom, and an external debt crisis weakly relates to increases in economic freedom. Only banking crises relate to a change in economic freedom in the following year, suggesting that crisis-driven changes in economic freedom happen quickly. Gains in economic freedom are more likely to occur during periods of positive local and global equity returns. Preceding and contemporaneous to increases in economic freedom, a country’s equity market outperforms a global equity index, offering observers a leading indicator for economic policy change. Originality/value The author finds that crises coincide with decreases in economic freedom, while gains in economic freedom happen during periods of positive capital market sentiment. The absence of a relationship between one-year lagged crisis events and changes in economic freedom suggests prior research relating gains in economic freedom to a crisis occurring 5 or 10 years earlier is a relationship which is more complex, non-linear and specific to the selected data period or spurious. Furthermore, relative equity market returns are related to changes in economic freedom, suggesting that equity markets identify which countries have increased economic freedom, long before popular economic freedom indexes are published.

Small investors’ internet sentiment and return predictability

2019 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Antti Klemola
Keyword(s):  
Investor Sentiment ◽  
Equity Market ◽  
Individual Investors ◽  
Linear Regression Models ◽  
Internet Search ◽  
Search Activity ◽  
Market Returns ◽  
Content Type ◽  
Vector Autoregressive ◽  
Bear Market

Purpose The purpose of this paper is to propose a novel and new direct measurement of small investor sentiment in the equity market. The sentiment is based on the individual investors’ internet search activity. Design/methodology/approach The author measures unexpected changes in the small investor sentiment with AR (1) process, where the residuals capture the unexpected changes in small investor sentiment. The author employs vector autoregressive, Granger causality and linear regression models to estimate the association between the unexpected changes in small investor sentiment and future equity market returns. Findings An unexpected increase in the search popularity of the term bear market is negatively associated with the following week’s equity market returns. An unexpected increase in the spread (the difference in popularities between a bull market and a bear market) is positively associated with the following week’s equity market returns. The author finds that these effects are stronger for small-sized companies. Originality/value By author’s knowledge, the paper is the first that measures the small investor sentiment that is based on the internet search activity for keywords used in the American Association of Individual Investor’s (AAII) survey questions. The paper proposes an alternative small investor sentiment measure that captures the changes in small investor sentiment in more timely fashion than the AAII survey.

Diversification strategies and equity market performances

2019 ◽  
Vol 29 (3) ◽  
pp. 207-225 ◽  
Author(s):  
Burhan F. Yavas ◽  
Kathleen Grave ◽  
Demosthenes Vardiabasis
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Direct Investment ◽  
Multinational Enterprises ◽  
Equity Market ◽  
Strategic Decision ◽  
Target Market ◽  
Risk And Uncertainty ◽  
Market Returns ◽  
Content Type

Purpose This paper aims to investigate the linkages among foreign direct investment (FDI – greenfield and mergers and acquisitions [M&A]) decisions and equity market returns and volatilities. The main premise is that FDI decisions by multinational enterprises (MNE) are influenced by risk and uncertainty indicated by equity market returns and volatilities in the destination (host) countries. This is so because the events on the stock markets in general and their volatilities in particular signal the vitality of the investment climate of the target market. Understanding volatility in capital markets is important for determining the cost of capital and for evaluating direct investment and asset allocation decisions. Design/methodology/approach Surveys and structured interviews were conducted with senior managers of 11 MNEs based in the USA to collect the data used in this study from November 2017 to October 2018. The paper investigates if FDI decisions of the MNE managers are influenced by risk and uncertainty indicated by equity market returns and volatilities. The paper endeavors to make a contribution to the IB literature in highlighting the role played by equity returns and volatilities in FDI decisions and therewith attempts to integrate finance (capital markets) with international business/strategic decision-making. Findings Capital market performances (returns and volatilities) were found to influence the country choice for location of production facilities (FDI – both greenfield and M&A decisions) as well as timing of the FDI by a MNE. In other words, the share of production capacity optimally located abroad and M&A activities are affected by capital market returns and volatilities.

Emerging market crises and US equity market returns

2011 ◽  
Vol 22 (1) ◽  
pp. 32-41 ◽  
Author(s):  
Dave Berger ◽  
H.J. Turtle
Keyword(s):  
Emerging Market ◽  
Equity Market ◽  
Market Returns
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