Efficiency stock returns
23 Sep 2011 1 Distress risk is one way to link firm efficiency to the return on equity; efficiency affects the riskiness of the firm's cash flows that in turn affect Firm Characteristics, Relative Efficiency, and Equity Returns - Volume 44 Issue 1 - Giao X. Nguyen, Peggy E. Swanson. 4 Apr 2011 We find that innovative efficiency (IE), patents or citations scaled by R&D, is a strong positive predictor of future returns after controlling for firm This collection of classical (and some not so classical) articles on the behaviour of stocks and stock returns will be a most welcome addition to the library of properties of stock returns,” Journal of Finance (December, 1992). Page 14. 10. Efficient Markets Hypothesis/Clarke. 14. 1955
A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium,
efficiency and future stock returns. A high level of innovative activity, even if successful in the past, is likely to be associated with greater economic uncertainty and possession of real options, and therefore high risk and expected result in greater better stock performance. In terms of efficiency estimations, a decline in the cost or an increase in the profitability of a bank is expected to create better financial performance resulting in greater stock returns. In an efficient market therefore, a change in cost or profit efficiency should be incorporated in the price formation process. Recent research suggests that a firm’s innovative efficiency (IE) is a strong positive predictor of future stock returns. Using a panel of 3084 international firms over the 1999–2015 period, this study attests to the predictive power of IE for subsequent returns, but disputes the linearity of the underlying relationship. First, we employ performance attribution regressions, by forming portfolios based on efficiency scores and tracking the performance of the various portfolios over time. Second, we perform cross-sectional/panel regressions to determine whether firm efficiency indeed has explanatory power for the cross-section of stock returns. We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. In this study, we examine the relation between innovative efficiency and subsequent operating performance as well as stock returns. By innovative efficiency, we mean a firm's ability to generate patents and patent citations per dollar of research and development (R&D) investment. The denominator, R&D, measures resource input to innovation. We find that innovative efficiency (IE), patents or citations scaled by R&D, is a strong positive predictor of future returns after controlling for firm characteristics and risk.
A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium,
In between the weak and strong form of market efficiency, there is semi-strong form efficiency. The market is efficient in a semi-strong form if the security prices 12 Aug 2014 The linear tests show a cyclical pattern in linear dependence suggesting that the Indian stock market switched between periods of efficiency 12 Aug 2014 The linear tests show a cyclical pattern in linear dependence suggesting that the Indian stock market switched between periods of efficiency
enable investors to earn excess risk adjusted rates of return. This paper examines the attacks on the efficient market hypothesis and the belief that stock prices
Keywords Anomalies; Risk factors; Return on equity; Fundamental valuation; Book-to-market ratio. 1. Introduction. The efficient market hypothesis and the asset A portfolio short food stocks of countries in drought and long those of countries not in drought generates a 9.2% annualized return from 1985 to 2015. Keywords: Long-run abnormal returns, market efficiency, stock repurchases, seasoned equity offerings. * Fu is affiliated with Singapore Management University,
Investors typically do not like to hold stocks during a financial crisis, and thus investors may sell stocks until the price drops enough so that the expected return
characteristics such as liquidity, volatility, stock returns and efficiency. It attempts to evaluate the benefits of improving the quality of the trading mechanism and to test the efficient market theory, and to see if individual stock industry returns market efficiency by examining how the risk adjusted rate of return for stocks THERE IS MUCH EVIDENCE THAT STOCK RETURNS are predictable. At the aggregate level, variables such as interest rates, financial ratios, and the default pre
15 Aug 2019 Therefore, it assumes that technical analysis can't be used to achieve returns. The semi-strong form of the theory contends stock prices are 27 Jun 2019 The Efficient Market Hypothesis (EMH) suggests that stock prices fully Many investors try not only to make a profitable return, but also to 23 Sep 2011 1 Distress risk is one way to link firm efficiency to the return on equity; efficiency affects the riskiness of the firm's cash flows that in turn affect Firm Characteristics, Relative Efficiency, and Equity Returns - Volume 44 Issue 1 - Giao X. Nguyen, Peggy E. Swanson. 4 Apr 2011 We find that innovative efficiency (IE), patents or citations scaled by R&D, is a strong positive predictor of future returns after controlling for firm