Prediction of returns on equity

There's little argument that returns from investments, is to a large extent, affected by occurrences of future events. Successful investing is, therefore very much dependent on one's ability to predict the future. However, future events often contain surprise elements that are beyond the m...

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Main Authors: Lim, Hwee Sin, Tan, Eric Cheow Hean, Ang, Paul Pooh Eng
Other Authors: Lee, Andrew
Format: Theses and Dissertations
Language:English
Published: 2009
Subjects:
Online Access:http://hdl.handle.net/10356/20179
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-201792024-01-12T10:30:29Z Prediction of returns on equity Lim, Hwee Sin Tan, Eric Cheow Hean Ang, Paul Pooh Eng Lee, Andrew Nanyang Business School DRNTU::Business::Finance::Equity There's little argument that returns from investments, is to a large extent, affected by occurrences of future events. Successful investing is, therefore very much dependent on one's ability to predict the future. However, future events often contain surprise elements that are beyond the most sophisticated forecasting tools. Nonetheless, studies on forecastable components in security returns have shown some degree of success particularly over the intermediate to longer-term horizon. Fama and French (1988) in studying the New York Stock Exchange reported that as much as 25 to 40 per cent of stock returns are predictable over a 3 to 5 years time horizon. This represents a radical shift from the previously held view of the efficient market hypothesis (EMH) as predictability implies market inefficiency. Ironically, the efficient market theory was originally attributed to Fama's classic work (1965) which presented strong and voluminous evidence in favour of the random walk hypothesis. Master of Business Administration (Accountancy) 2009-12-14T08:27:11Z 2009-12-14T08:27:11Z 1994 1994 Thesis http://hdl.handle.net/10356/20179 en NANYANG TECHNOLOGICAL UNIVERSITY 121 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Equity
spellingShingle DRNTU::Business::Finance::Equity
Lim, Hwee Sin
Tan, Eric Cheow Hean
Ang, Paul Pooh Eng
Prediction of returns on equity
description There's little argument that returns from investments, is to a large extent, affected by occurrences of future events. Successful investing is, therefore very much dependent on one's ability to predict the future. However, future events often contain surprise elements that are beyond the most sophisticated forecasting tools. Nonetheless, studies on forecastable components in security returns have shown some degree of success particularly over the intermediate to longer-term horizon. Fama and French (1988) in studying the New York Stock Exchange reported that as much as 25 to 40 per cent of stock returns are predictable over a 3 to 5 years time horizon. This represents a radical shift from the previously held view of the efficient market hypothesis (EMH) as predictability implies market inefficiency. Ironically, the efficient market theory was originally attributed to Fama's classic work (1965) which presented strong and voluminous evidence in favour of the random walk hypothesis.
author2 Lee, Andrew
author_facet Lee, Andrew
Lim, Hwee Sin
Tan, Eric Cheow Hean
Ang, Paul Pooh Eng
format Theses and Dissertations
author Lim, Hwee Sin
Tan, Eric Cheow Hean
Ang, Paul Pooh Eng
author_sort Lim, Hwee Sin
title Prediction of returns on equity
title_short Prediction of returns on equity
title_full Prediction of returns on equity
title_fullStr Prediction of returns on equity
title_full_unstemmed Prediction of returns on equity
title_sort prediction of returns on equity
publishDate 2009
url http://hdl.handle.net/10356/20179
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