Stock return variation and expected dividends: a time-series and cross- sectional analysis

Article Abstract:

Changes in expectations of future dividends, investments and future returns highly account for the variation in aggregate stock returns. A simple time- series model indicates that changes in dividend yield account for 72% of annualstock return variation. Industrial growth rates have also been found to exert marginal pressure on stock returns. A cross-sectional test of 20 portfolio stocks ranked according to their annual return performance show that nearly 90%of the variation in portfolio income is due to dividend and expected return variables.

Security and commodity exchanges, Analysis, Evaluation, Prices and rates, Stocks, Stock-exchange, Stock exchanges, Investments, Stock prices

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Problems in measuring portfolio perrformance: an application to contrarian investment strategies

Article Abstract:

A study was conducted on performance measurement problems in raw and abnormal five-year buy-and-hold contrarian portfolio returns. The problems were examined in the context of a DeBondt and Thaler contrarian research design. Results showed that mean-variance-based abnormal contrarian returns have a tendency to be biased upward. An observed beta behavior in up and down markets was found to be followed by a large negative alpha. Lastly, loser-stock return distribution was found to be highly right-skewed.

Portfolio management, Investment analysis, Securities analysis

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Book-to-market, dividend yield, and expected market returns: a time-series analysis

Article Abstract:

The predictability of stock returns is supported by reliable evidence obtained from studies pointing that book-to-market (B/M) and dividend yield track time-series variation in expected market index returns over the period 1926-91. Bayesian-bootstrap simulation was used to prove the point. B/M results of the study suggests that expected return variation over the 1926-91 period was not driven by equilibrium changes in compensation for risk.

Forecasting, Models, Financial markets, Return on investment, Business forecasting, Rate of return

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