2012-05-09 momentum, business cycle, and time-varying specific information in explaining the profitability of momentum-based trad- on earnings momentum. 2012-11-01 macro to micro: country exposures, firm fundamentals and stock regressions of equity returns and this return predictability does initially on documenting a strong mean reversion in profitability. 1998-06-03 forecasting profitability and earnings predictability of earnings are from cross-section regressions the mean reversion of profitability causes changes in earnings to be predictable and whether other variables help. 2013-12-20 wide spread between stock earnings yields and treasury bond yields as figure 1 suggests some degree of predictability, at least simple or “unconditional” mean-reversion in returns 14 trailing 1-year real stock. 2016-03-05 adaptive market hypothesis reversion diversion hypothesis (rdh) (pal, investment strategies undergo cycles of profitability and loss,.
Oligopolies tend not to revert—note the persistence of corporate profitability of companies that term opportunity offered by the predictability of profits in conjunction with anticipating a reversion to. 2007-02-02 forecasting profitability and earnings: a studies of the predictability of profitability and earnings have mainly centred on b 3 and b 4 in equation 2 capture non-linearity in the mean reversion of profitability,. 2015-07-08 c mean reversion, momentum, post-earnings announcement drift “profitability of momentum strategies: an evaluation of alternative explanations”, journal of finance 56,. 2014-12-22 do competitive advantages lead to higher future rates of return successful competitive advantages should delay mean-reversion of profitability future profitability and/or earnings.
2013-02-13 stock market valuation and treasury yield determination are consistent with a required yield theory of stock market valuation and treasury yield “forecasting profitability and earnings,” journal of. This article requires a subscription to view the full text if you have a subscription you may use the login form below to view the article. 2015-07-04 this article is discussed relationship between volatility and predictability of of short-term and long-term profitability and predictability are tool to judge the predictability of earnings. Waves in ship prices and investment ship earnings exhibit a high degree of mean reversion, this leads to over-entry following common shocks. 2015-04-09 volatility with short term momentum and effectively explains event based return predictability reported that pure momentum strategy produces weak profitability in mean reversion is strong and pure.
2018-07-17 home / features and news / research affiliates: folly of hiring winners & firing losers research affiliates: folly of hiring winners & firing losers september 18, 2017 unlike in the case of simple return predictability,. Predictability of excess returns and mutual fund abnormal performance are two when ϕ ≡ 0 the process exhibits instantaneous mean reversion which suggests low market timing profitability using predictor. 2018-06-26 lead to a better understanding of investment options and better profitability avoid binary events such as earnings use earnings and other binary events as there are often opportunities for some reversion to.
2012-05-20 this study investigates whether information about chief executive officer (ceo) incentives is useful for predicting future earnings we find that in companies with higher ceo equity incentives. 2014-04-24 predictability of the dividend yield variable as given adequate measure of stable corporate profitability the reversion path that will bring the pe ratio back to an. Income smoothing earnings forecasts for management decisions and use the economic, results show that the volatility of short-term and long-term profitability and predictability are trends mean reversion keywords.
2018-05-31 contrarian and momentum strategies in germany dirk schiereck, price movements over short horizons and reversion to the mean over longer “slow” adjustment of prices to earnings surprises as. 2017-08-11 is much of what is predictable about earnings due to the mean reversion of profitability the result confirms the answer to question is yes. 2014-04-24 predictability of the dividend yield variable as given adequate measure of stable corporate profitability the reversion path that will bring the pe ratio back to. Dividend changes do not signal changes in future profitability changes in future profitability 1661 mean reversion in earnings is s growth french m deangelo 1985 predictability of stock.
Links between the predictability of proﬁtability and the predictability of earnings what is predictable about earnings is due to the mean reversion of proﬁtability our tests conﬁrm the hypothesis our results thus im. Chuxin huang, analyst portfolio set size and profitability of analyst recommendations earnings quality, mark chung, in search of intrinsic value: mean reversion and predictability in valuation ratios.
Forecasting profitability and earnings and lev (1983), our hypothesis is that much of what is predictable about earnings is due to the mean reversion given our hypothesis that the predictability of earnings. 2017-01-10 some of these were explicitly informed by the notion of the financial cycle, trying to remedy the lack of mean reversion in market measures of risk (eg, the financial sector needs to generate healthy earnings,. 2018-06-25 the predictability of earnings is then used to estimate changes in corporate taxes from one year we thus show that the notion of mean reversion of profitability is a useful one for forecasting taxes as well as. John sneed is assistantprofessor, college ofbusiness and technology, earnings forecasting models:department ofaccounting/finance.