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The predictability of stock returns: a cross sectional analysis

Article Abstract:

An analysis of the exploitability of stock return predictability reveals that risk-adjusted excess returns are related to market estimates and analytical estimates of company growth rates. The results of the study however, may only be a result of poor measurement and further studies may be needed to confirm observations. Return predictability may also be inversely associated with excess returns if these returns are discovered to be abnormal.

Author: Malkiel, Burton G., Quandt, Richard E., Fluck, Zsuzsanna
Publisher: MIT Press Journals
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1997
Investment advice, Investment Advisory Services, Evaluation, Stocks, Investment advisers, Stock price forecasting

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Is there a cost to being socially responsible in investing?

Article Abstract:

The average returns of a socially screened and unscreened equity universe from 1987 to 1994 showed no marked difference. A comparison of socially screened and unscreened portfolios also revealed that earnings forecasts, forecast revisions and forecast revision direction enhance portfolio creation value. The analysis correlated social screening to improved management and higher returns generation.

Author: Guerard, John B., Jr.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1997
Research, Corporate social responsibility

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Characterizing Cross-Country Consumption Correlations. (Consumptions are correlated across nations)

Article Abstract:

Consumptions will be largely correlated across different nations, based on the general equilibrium models of international fluctuations that assume complete asset market. This indicates, however, that cross-country consumption correlation has the tendency to be below the corresponding production correlation.

Author: Pakko, Michael R.
Publisher: MIT Press Journals
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1998
Forecasts and trends, Consumption (Economics)

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Subjects list: Analysis, Portfolio management
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