Assessing the economic significance of return predictability: a research note

Article Abstract:

Research on investor portfolio management indicates that return predictability is capable of inducing optimal allocation horizon effects. Dividend yield was found to be the most significant predictor, but the relative bill rate and term spread also affected optimal allocations.

Author: Gray, Philip, Boudry, Walter
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2003
Return on investment, Rate of return, Allocation (Accounting)

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Nonlinear Predictability of Value and Growth Stocks and Economic Activity

Article Abstract:

The article examines growth and value portfolios created by book-to-market ratio, using non-parametric techniques to assess predictability. A smooth-transition threshold model is developed.

Author: McMillan, David G., Black, Angela J.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2004
Financial Forecasting, Forecasting, Models, Business forecasting, Business models, Prediction (Logic)

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Seasonality in fund performance: an examination of the portfolio holdings and trades of investment managers

Article Abstract:

Analysis of seasonal trends of returns on managed funds, based on corporate announcements and tax-loss selling by investment managers, is presented.

Author: Gallagher, David R., Pinnuck, Matt
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2006
Strategy & planning, Forecasts, trends, outlooks, Dividends, Dividend Policy, Planning, Forecasts and trends, Investments, Market trend/market analysis, Company business planning, Investment management, Company dividends

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Subjects list: Australia, Portfolio management, Comparative analysis, Methods
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