Predicting Stock Returns: Implications for Asset Pricing

✍ Scribed by David G McMillan (auth.)

• Publisher: Palgrave Pivot
• Year: 2018
• Tongue: English
• Leaves: 141
• Edition: 1
• Category: Library

✦ Synopsis

This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike.

✦ Table of Contents

Front Matter ....Pages i-xiii
Introduction (David G. McMillan)....Pages 1-7
Where Does Returns and Cash-Flow Predictability Occur? Evidence from Stock Prices, Earnings, Dividends and Cointegration (David G. McMillan)....Pages 9-26
Forecasting Stock Returns—Historical Mean Vs. Dividend Yield: Rolling Regressions and Time-Variation (David G. McMillan)....Pages 27-56
Returns and Dividend Growth Switching Predictability (David G. McMillan)....Pages 57-75
Which Variables Predict and Forecast Stock Market Returns? (David G. McMillan)....Pages 77-101
Forecast and Market Timing Power of the Model and the Role of Inflation (David G. McMillan)....Pages 103-129
Summary and Conclusion (David G. McMillan)....Pages 131-133
Back Matter ....Pages 135-136

✦ Subjects

Public Finance