Predictability of Industry Stock Return - The Australian Evidence

Investigation into Return Predictability
Erscheinungsjahr 2009
ISBN: 978-3-639-19767-9
Verlag: VDM Verlag Dr. Müller

Buch, Englisch, 204 Seiten, Paperback, Format (B × H): 150 mm x 220 mm, Gewicht: 322 g

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.

Autoren/Hrsg.

Yao, Juan

Über Autor(innen)

Dr Juan Yao is a lecturer at the Finance Discipline, Faculty of Economics and Business, The University of Sydney, Australia. She received her Ph.D. degree in Finance from Curtin University of Technology. Her research interests are in the area of investment and portfolio management, foreign exchange market and business forecasting in particular.