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DC Field | Value | Language |
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dc.contributor.author | Emara, Noha | - |
dc.date.accessioned | 2018-05-30T06:59:48Z | - |
dc.date.available | 2018-05-30T06:59:48Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Emara, N. (2014). Predictive ability of three different estimates of “Cay” to excess stock returns : a comparative study for South Africa and USA. European Research Studies Journal, 17(1), 3-18. | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/30544 | - |
dc.description.abstract | The results of Lettau and Ludvigson (2001) show that Cay-LL has a significant predictive power both in the in-sample and the out-of-sample forecast of excess return. Our study departs from Lettau and Ludvigson (2001) in adding and comparing other two estimates of cay namely cay-OLS and cay-DLS besides cay-LL for forecasting excess return in both the United States and South Africa. Using quarterly data over the period 1988:1 to 2012:2, the results for the United States suggest that the three alternative measures of cay have positive significant predicting ability for the in-sample and out-of-sample forecasting models. Furthermore, and in line with the results of Lettau and Ludvigson (2001), cay-LL has the least mean squared forecasting errors. For the case of South Africa, lagged excess return and dividend yield beat the three alternative measures of cay in forecasting excess return. The results suggest that for the case of South Africa, the trend deviations of the macroeconomic variables is not a strong predictor of the excess stock returns over a treasury bill rate, and cannot account for a statistical significant variation in future excess returns. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | University of Piraeus. International Strategic Management Association | en_GB |
dc.rights | info:eu-repo/semantics/openAccess | en_GB |
dc.subject | Forecasting | en_GB |
dc.subject | Stock transfer -- South Africa | en_GB |
dc.subject | Stock transfer -- United States | en_GB |
dc.title | Predictive ability of three different estimates of “Cay” to excess stock returns : a comparative study for South Africa and USA | en_GB |
dc.type | article | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.description.reviewed | peer-reviewed | en_GB |
dc.publication.title | European Research Studies Journal | en_GB |
Appears in Collections: | European Research Studies Journal, Volume 17, Issue 1 |
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ERSJ,_17(1)_-_A1.pdf | 539.56 kB | Adobe PDF | View/Open |
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