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Advanced Search Results For "RATE of return"

1 - 10 of 120,290 results for
 "RATE of return"
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Subjective Bond Returns and Belief Aggregation.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Aug2022, Vol. 35 Issue 8, p3710-3741. 32p.

Abstract:This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-s...

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Corporate R&D and Stock Returns: International Evidence.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Jun2022, Vol. 57 Issue 4, p1377-1408. 32p.

Abstract:Firms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option ris...

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Model of Two Days: Discrete News and Asset Prices.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. May2022, Vol. 35 Issue 5, p2246-2307. 62p.

Abstract:Empirical studies demonstrate striking patterns in stock returns related to scheduled macroeconomic announcements. A large proportion of the total equity premium is realized on days with macroeconomic announcements. The relation between market betas an...

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Can Shorts Predict Returns? A Global Perspective.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. May2022, Vol. 35 Issue 5, p2428-2463. 36p.

Abstract:Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust pr...

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Disagreement in the Equity Options Market and Stock Returns.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1443-1479. 37p.

Abstract:We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surpri...

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Short-term Momentum.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1480-1526. 47p.

Abstract:We document a striking pattern in U.S. and international stock returns: double sorting on the previous month's return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term ...

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Stock Return Extrapolation, Option Prices, and Variance Risk Premium.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1348-1393. 46p.

Abstract:This paper presents a tractable dynamic equilibrium model of stock return extrapolation in the presence of stochastic volatility. In the model, consistent with survey evidence, investors expect future returns to be higher (lower) but also less (more) v...

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Investor Attention and Stock Returns.

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Mar2022, Vol. 57 Issue 2, p455-484. 30p.

Abstract:We propose an investor attention index based on proxies in the literature and find that it predicts the stock market risk premium significantly, both in sample and out of sample, whereas every proxy individually has little predictive power. The index i...

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Vulnerability of Sustainable Islamic Stock Returns to Implied Market Volatilities: An Asymmetric Approach.

Publication Type:Academic Journal

Source(s):Discrete Dynamics in Nature & Society. 7/19/2022, p1-22. 22p.

Abstract:There has been increasing interests in the sustainable way of investing as enjoined by several sustainability initiatives. However, investors require effective portfolio diversification at various market conditions (stress, benign, and boom) and would ...

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PPP Financing Model in the Infrastructure Construction of the Park Integrating Artificial Intelligence Technology.

Publication Type:Academic Journal

Source(s):Computational Intelligence & Neuroscience. 7/14/2022, p1-10. 10p.

Abstract:The objective is to study the application of the Public-Private-Partnership (PPP) financing model in the infrastructure construction of the park. By analyzing the operation model of the PPP financing model, combined with the Artificial Intelligence (AI...

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