Patterns in three centuries of stock market prices
Article Abstract:
A test is made on the hypothesis that long-term temporal dependencies are present in financial information based on an extremely long stock market series. Autoregression of multiple year capital appreciation returns is employed to investigate long-term serial dependency in stock market prices. The rescaled range statistic is also used to measure the extent of long-term dependency. The long series are expected to provide patterns which are otherwise unavailable using shorter time series. The results indicate the presence of long-term memory in the London Stock Exchange (LSE) stock prices between 1700-1989 and in deviations from 20-year means in both the New York Stock Exchange and LSE. However, there is inadequate evidence that the serial dependence in long-term capital appreciation returns can be employed to acquire arbitrage profits.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
A longer look at dividend yields
Article Abstract:
The effectiveness of dividend yields in predicting long-horizon stock returns is reexamined. Previous analysis of dividend yield regressions by using two new data series: an annual series for the UK and a monthly series for the US beginning in 1871. Depending on the survival of the dividend series over the 122-year research period, research results indicate that the predictive power of dividend yields is only marginal in both countries. It is suggested that survivorship may have an impact on tests over long periods. The results of simulations of the effects of survivorship on dividend yield regressions indicate that regression statistics based on a sample taken exclusively from surviving markets may show a pronounced bias toward finding predictability.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Stock prices and economic news
Article Abstract:
The daily response of stock prices to announcements about the money supply, inflation, economic activity, and the discount rate is examined. The unexpected component of these announcements is identified by using survey data on market participants' expectations of these announcements. The survey data is used to test the hypothesis that only the unexpected part of an announcement moves stock prices. The results support this hypothesis, especially in the case of surprises related to monetary policy announcements. Inflation surprise announcements have little impact on stock prices and real economic activity surprises have no impact. Stock prices generally do not respond to surprises beyond the announcement day.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1985
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: U.S. corporate earnings forecast - major market indexes. U.S. corporate earnings forecast: major market indexes
- Abstracts: Vendors can pave the way to growth. What franchisors look for. Visiting a loan officer? Be prepared
- Abstracts: An investigation into the people-sequential heuristic method of group formation. The impact of learning and labor attrition on worker flexibility in dual resource constrained job shops
- Abstracts: Cyberspace clash: computer users battle high-tech marketers over soul of Internet; firms believe there is room for ads on vast network, but risk being 'flamed'; Gore's Superhighway project