Matches in SemOpenAlex for { <https://semopenalex.org/work/W2904070451> ?p ?o ?g. }
Showing items 1 to 65 of
65
with 100 items per page.
- W2904070451 abstract "The results of Lettau and Ludvigson (2001) show that Cay-LL has a significant predictive power both in the in-sample and the out-of-sample forecast of excess return. Our study departs from Lettau and Ludvigson (2001) in adding and comparing other two estimates of cay namely cay-OLS and cay-DLS besides cay-LL for forecasting excess return in both the United States and South Africa. Using quarterly data over the period 1988:1 to 2012:2, the results for the United States suggest that the three alternative measures of cay have positive significant predicting ability for the in-sample and out-of-sample forecasting models. Furthermore, and in line with the results of Lettau and Ludvigson (2001), cay-LL has the least mean squared forecasting errors. For the case of South Africa, lagged excess return and dividend yield beat the three alternative measures of cay in forecasting excess return. The results suggest that for the case of South Africa, the trend deviations of the macroeconomic variables is not a strong predictor of the excess stock returns over a treasury bill rate, and cannot account for a statistical significant variation in future excess returns." @default.
- W2904070451 created "2018-12-22" @default.
- W2904070451 creator A5030875520 @default.
- W2904070451 date "2014-01-01" @default.
- W2904070451 modified "2023-09-24" @default.
- W2904070451 title "Predictive ability of three different estimates of “cay” to excess stock returns - A comparative study South Africa & U.S. -" @default.
- W2904070451 hasPublicationYear "2014" @default.
- W2904070451 type Work @default.
- W2904070451 sameAs 2904070451 @default.
- W2904070451 citedByCount "0" @default.
- W2904070451 crossrefType "posted-content" @default.
- W2904070451 hasAuthorship W2904070451A5030875520 @default.
- W2904070451 hasConcept C105795698 @default.
- W2904070451 hasConcept C111472728 @default.
- W2904070451 hasConcept C138885662 @default.
- W2904070451 hasConcept C149782125 @default.
- W2904070451 hasConcept C162324750 @default.
- W2904070451 hasConcept C166957645 @default.
- W2904070451 hasConcept C204036174 @default.
- W2904070451 hasConcept C205649164 @default.
- W2904070451 hasConcept C2778136018 @default.
- W2904070451 hasConcept C2779343474 @default.
- W2904070451 hasConcept C2780889827 @default.
- W2904070451 hasConcept C2991665230 @default.
- W2904070451 hasConcept C33923547 @default.
- W2904070451 hasConceptScore W2904070451C105795698 @default.
- W2904070451 hasConceptScore W2904070451C111472728 @default.
- W2904070451 hasConceptScore W2904070451C138885662 @default.
- W2904070451 hasConceptScore W2904070451C149782125 @default.
- W2904070451 hasConceptScore W2904070451C162324750 @default.
- W2904070451 hasConceptScore W2904070451C166957645 @default.
- W2904070451 hasConceptScore W2904070451C204036174 @default.
- W2904070451 hasConceptScore W2904070451C205649164 @default.
- W2904070451 hasConceptScore W2904070451C2778136018 @default.
- W2904070451 hasConceptScore W2904070451C2779343474 @default.
- W2904070451 hasConceptScore W2904070451C2780889827 @default.
- W2904070451 hasConceptScore W2904070451C2991665230 @default.
- W2904070451 hasConceptScore W2904070451C33923547 @default.
- W2904070451 hasLocation W29040704511 @default.
- W2904070451 hasOpenAccess W2904070451 @default.
- W2904070451 hasPrimaryLocation W29040704511 @default.
- W2904070451 hasRelatedWork W137358902 @default.
- W2904070451 hasRelatedWork W1832343052 @default.
- W2904070451 hasRelatedWork W1841651565 @default.
- W2904070451 hasRelatedWork W1963830889 @default.
- W2904070451 hasRelatedWork W1985681847 @default.
- W2904070451 hasRelatedWork W2070671009 @default.
- W2904070451 hasRelatedWork W2092285996 @default.
- W2904070451 hasRelatedWork W2098036911 @default.
- W2904070451 hasRelatedWork W2320589808 @default.
- W2904070451 hasRelatedWork W2393314480 @default.
- W2904070451 hasRelatedWork W2571251788 @default.
- W2904070451 hasRelatedWork W2594978322 @default.
- W2904070451 hasRelatedWork W2764249671 @default.
- W2904070451 hasRelatedWork W2978148584 @default.
- W2904070451 hasRelatedWork W2994460763 @default.
- W2904070451 hasRelatedWork W2999868015 @default.
- W2904070451 hasRelatedWork W3123131948 @default.
- W2904070451 hasRelatedWork W3151774575 @default.
- W2904070451 hasRelatedWork W3197943284 @default.
- W2904070451 hasRelatedWork W3122149707 @default.
- W2904070451 isParatext "false" @default.
- W2904070451 isRetracted "false" @default.
- W2904070451 magId "2904070451" @default.
- W2904070451 workType "article" @default.