Advertisement

© 2018

Predicting Stock Returns

Implications for Asset Pricing

  • Uses advanced econometric techniques

  • Brings together current research in the area of asset pricing

  • Examines the relationship between stocks and bonds

  • Contributes to improved theoretical models

Book

Table of contents

About this book

Introduction

This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price movement. By contributing to our understanding of the factors that cause price movement, this book will be of benefit to researchers, practitioners and policy makers alike. 

Keywords

Stock return predictability Stock return forecasting Stock price valuation Asset allocation FED model Stock price movements Dividend growth predictability Asset price movement International stock markets State-Space Model Sharpe ratio with no short-selling (SHARPE) VAR model

Authors and affiliations

  1. 1.Department of Accounting and FinanceUniversity of StirlingStirlingUnited Kingdom

About the authors

David G. McMillan is a Professor of Finance at the University of Stirling, UK. His research interests are in empirical financial economics, and include forecasting asset returns and volatility, modelling the linkages between asset prices and macroeconomic variables and examining the behaviour of financial and investor ratios. David has published widely on these topics in internationally respected peer-reviewed journals such as the Journal of Banking and Finance and the Oxford Bulletin of Economics and Statistics. He is a senior editor for the Cogent Economics and Finance and Cogent Business and Management journals and sits of the editorial board of several internationally respected journals, including the European Journal of Finance and the Journal of Asset Management.

Bibliographic information

Industry Sectors
Finance, Business & Banking