Title
Price Related Anomalies and Predictability of Stock Returns: Betas Win Again, Prediction with Anomalies,Used
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Huge empirical evidence suggests that a number of fundamentals help to explain the crosssectional pattern of asset returns. In this dissertation we expand that evidence by investigating the crosssectional pattern of stock returns for eight emerging markets, using two methodologies. Vector Auto regressive Approach (VAR) in conducting the inference about the ability of dividend yields to predict stock returns, and between estimator panel data regression in conducting the inference about the ability of priceearning ratio, booktomarket ratio, market capitalization, and beta to predict stock returns. Our results confirm some of the existing evidence for developed markets. Firstly, we report that dividend yield shocks play an important role in driving fluctuation in stock returns and this relation is positive. Secondly, we report that betas have a significant explanatory power in four markets and the sign is positive, which means that our result goes with same line of CAPM, but in the other hand, P/E, B/M, and MCAP all failed to capture any power to predict stock returns.
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