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Do Stock Returns Predict the Future? 证券回报可以预测企业的未来吗?
Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited By: Ferson, Wayne E.; Heuson, Andrea; Tie Su. 弱式和半强式股票报酬可预测性。
Non-parametric estimations reveal that the fat tail of the distribution of stock return satisfies power law decay. 非参数估计显示股票收益分布的非正态性及“肥尾”现象,其尾部满足幂律衰减。
On the contrary, the relationship between order imbalances and stock return become unobvious in the second day. 在避险当日的买卖单与股价间存在强烈的正向关系，但是到了避险次日，这样的关系就减弱。
And the ARCH models for Dow-Jones average stock return are established with algorithm and forecast of the return is given. 并利用算法建立美国证券市场道琼斯指数收益的ARCH模型,进行了走势预测。
This paper develops a trinomial option pricing model that incorporates the first four moments of the stock return distribution. 提出了一个将股票收益分布的头四个动差结合起来的三项式期权定价模型。
But there are other factors affecting the return of stock and there is no direct relation between stock return and the Beta. 但是 ,股票收益率不仅与贝塔之外的因子有关 ,而且与贝塔之间的关系也不是线性的。
Abstract: This paper develops a trinomial option pricing model that incorporates the first four moments of the stock return distribution. 文摘:提出了一个将股票收益分布的头四个动差结合起来的三项式期权定价模型。
Using threshold regression analysis, we isolate three regimes that exhibit different associations between recency and stock return. 利用成因回归分析方法，我们独立了三种机制呈现新近知识投入与股票回报之间的关系。
We examine the relationship between the stock return and trading volume in the Shanghai and Shenzhen Stock market using quantile regression. 摘要文章应用分位数回归考察我国沪深股市成交量和收益率之间的关系。
It finds that the combination of EVA and MVA has a certain explanatory power to stock return, but the effect is not very outstanding. 结果表明，在结合经济增加值和市场增加值两大指标体系之后，对沪深两市的股票收益存有一定的解释能力，但与传统的会计指标体系相比，解释能力得到很大的提高；
This paper made a comparative study on the explanatory power to stock return by application of the EVA, WVA accounting indicators in Chinese stock market. 摘要本文以沪深两市659家上市公司三年的数据为基础，运用回归分析方法，研究在目前国内权益资本市场中，经济增加值、市场增加值及会计指标三大指标体系对股票收益的解释能力。
S. stock markets to Taiwan's stock and futures markets.However, the U.S. stock return volatilities do have explanation power in Taiwan's futures markets. 另外，美国股市对台湾期货与现货市场存有显著的报酬波动传导效果，但美国股市的波动对台湾期货的波动现象较具解释力。
And the GARCH models for Dow-Jones average stock return are established with algorithm and forecast of the return is given. The living example proved that this method is a simple and effective algorithm. 并利用算法建立美国证券市场道琼斯指数收益的GARCH模型,进行了走势预测,实例证明它是一个简单有效的算法。
The daily VaRs of stock returns are computed using GARCH (1,1) model, MA method and RiskMetrics respectively. 分别采用 GARCH( 1 ;1 )模型、Risk Metrics和移动平均法预测上海股市日收益率的波动性 ;计算每天的 va R.
We classify the litigation and arbitration announcements of listed corporation into three categories, and research the effect of two categories on unsystematic volatility of stock return. 摘要把中国上市公司的诉讼、仲裁公告分为三类，运用事件研究法考察了其中两类公告所披露的信息对股票非系统波动性的影响。
The asymmetric reverting behavior of stock returns is undoubtedly exploitable using the contrarian portfolio strategy. 且发现反向投资策略的获利性除来自市场过度反应外也与不对称反转现象有关。
Stock returns and their volatility are analyzed using the GARCH (1, 1) model with game dummy variables. GARCH(1,1)模型配合球赛虚拟变数被应用来分析股市报酬及其变动性。
STEPHEN H.PENMAN XIAO-JUN ZHANGAccounting Conservatism,the Quality of Earnings,and Stock Returns". 储一昀;王安武.;上市公司盈余质量分析[J]
I buy him a drink in return for his help. 我请他喝酒以酬谢他的帮助。