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£72.00

VDM Verlag Predictability of Industry Stock Return - The Australian Evidence: Investigation into Return Predictability

Name: Predictability of Industry Stock Return - The Australian Evidence: Investigation into Return Predictability
Brand: VDM Verlag
Price: 72.0 GBP
Availability: InStock

Economics

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Description

Predictability of stock returns has always been of great interest to both financial practitioners and academics. This book provides an extensive review of empirical literature on the return predictability as well as the debates about the implications to orthodox market-efficiency theory. The book also involves an empirical research of the predictability using a dataset of Australian industrial stocks. The book starts with an examination of time-varying systematic risks of Australian Industrial portfolios. Further, a Bayesian dynamic-forecasting model is employed to examine the explanatory power of economic and financial information publicly available. In the out-of-sample analysis, a maximally predicted portfolio (MPP) is constructed and market timing and industry rotation strategies are adopted to test the profitability. The results presented are of particular interest to investment and academic community especially those with a focus of risk management and industry analysis.

Product Specifications

Brand: VDM Verlag
Format: paperback
ASIN: 3639197674
Category: Books > Subjects > Business, Finance & Law > Economics
Domain: Amazon UK
Release Date: 04 October 2009
Listed Since: 12 October 2009

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VDM Verlag Predictability of Industry Stock Return - The Australian Evidence: Investigation into Return Predictability

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