Bookcover of Predictability of Industry Stock Return - The Australian Evidence
Booktitle:

Predictability of Industry Stock Return - The Australian Evidence

Investigation into Return Predictability

VDM Verlag Dr. Müller (2009-10-04 )

Books loader

Omni badge eligible for voucher
ISBN-13:

978-3-639-19767-9

ISBN-10:
3639197674
EAN:
9783639197679
Book language:
English
Blurb/Shorttext:
Predictability of stock returns has always been of great interest to both financial practitioners and academics. This book provides an extensive review of empirical literature on the return predictability as well as the debates about the implications to orthodox market-efficiency theory. The book also involves an empirical research of the predictability using a dataset of Australian industrial stocks. The book starts with an examination of time-varying systematic risks of Australian Industrial portfolios. Further, a Bayesian dynamic-forecasting model is employed to examine the explanatory power of economic and financial information publicly available. In the out-of-sample analysis, a maximally predicted portfolio (MPP) is constructed and market timing and industry rotation strategies are adopted to test the profitability. The results presented are of particular interest to investment and academic community especially those with a focus of risk management and industry analysis.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Juan Yao
Number of pages:
204
Published on:
2009-10-04
Stock:
Available
Category:
Economics
Price:
79.00 €
Keywords:
Return predictability, state-space model, Australian stock market, Industry return, Market Efficiency, Industry rotation, Market timing

Books loader

Newsletter

Adyen::diners Adyen::jcb Adyen::discover Adyen::amex Adyen::mc Adyen::visa Adyen::cup Adyen::unionpay Adyen::paypal Paypal CryptoWallet Wire Transfer

  0 products in the shopping cart
Edit cart
Loading frontend
LOADING