Estimating the permanent component of UK stock prices using multivariate evidence on both prices and dividends

Article Abstract:

A multivariate analysis method was used to predict UK stock returns. The multivariate technique was employed under the premise that dividend-price ratio is stationary. Monthly data from 1965 and annual data from 1920 were examined. For monthly data, stock prices exhibited mean aversion and stock returns were easy to predict. However, for annual data, returns were difficult to predict because prices manifested a random walk behavior.

Usage, Multivariate analysis, Random walks (Mathematics), Random walk theory

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Are long-horizon stock returns predictable? A bootstrap analysis

Article Abstract:

Univariate and multivariate variance ratio tests are used to investigate the predictability of long-horizon real and excess stock returns in Great Britain. Results find no evidence of mean reversion in stock prices. This, despite the use of a wider set of information to predict stock returns. It is also found that earlier studies overstated the significance of historical variance ratio statistics.

United Kingdom, Research, Forecasts and trends, Corporations, Securities, Return on investment, Stock price forecasting, Rate of return, Corporations, British

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Foreign exchange risk and common stock returns: a note on international evidence

Article Abstract:

The effects of foreign exchange risk on common stock returns for twenty portfolios from the US, Canada, UK and Japan are studied using the arbitrage pricing theory. Results show that foreign exchange risks have a cross-sectional effect on international asset returns. Common stocks negatively correlated with foreign exchange rate changes also exhibit higher expected returns for UK portfolios.

International aspects, Stock-exchange, Stock exchanges, Foreign exchange market

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