Time-variation in expected returns

Article Abstract:

The stochastic nature of expected returns on common stock is described, using weekly returns of ten sized-based portfolios from 1962-1985. The expected returns are predicted to follow an autoregressive process. The Kalman filter technique is used to predict returns and to show that constancy is rejected for the portfolios. A major fraction of return variances are attributed to the variation through time in short-horizon expected returns. The relationship between the relative time-variation in expected returns and the size rankings of portfolios is monotonic in nature. The relative variation in expected returns experiences systematic changes between five year subperiods. Even though each portfolio's past returns are the bases for forecasts made on the autoregressive model, the information in other potential predictor variables is subsumed.

Analysis, Usage, Stocks, Forecasts and trends, Portfolio management, Stochastic analysis

---

Buyer-supplier performance: the role of asset specificity, reciprocal investments and relational exchange

Article Abstract:

A negative relationship exists between buyer-supplier performance and an original equipment manufacturer's (OEM) investment in specific assets. Data obtained from 393 manufacturing firms show that OEM-specific assets decrease OEM satisfaction and increase transaction costs. Such effects of OEM-specific assets become conditional in the existence of significant interaction terms. Data also reveal that the relationship between OEM-specific assets and performance can be positively affected by reciprocal investments.

Industrial supplies, Industrial Supplies Whsle, Industrial Supplies Wholesalers, Research, Management, Investments, Industrial suppliers, Distributors (Commerce), Fixed assets

---

Similar abstracts:

• Abstracts: Participation's effect on task performance: mediating roles of goal acceptance and procedural justice. Justice perceptions of complaint-handling: a cross-cultural comparison between PRC and Canadian customers
• Abstracts: The order and size of entry into international markets. Marketing Theory Matters. The influence of western concepts on Russian marketing theory
• Abstracts: Leisure and new technology lead the way; the top listed companies have, by and large, had a good year, but economists are divided on what the year ahead has in store
• Abstracts: Approaches to manufacturing regeneration: some empirical data. Corporate financial distress and turnaround strategies: an empirical analysis

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.