Price discovery and asset pricing
Data(s) |
01/12/2016
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Resumo |
This paper tests the hypothesis that price discovery influences asset pricing. Our innovations are twofold. First, we estimate time-varying price discovery for a large number (21) of Islamic stock portfolios. Second, we test using a predictive regression model whether or not price discovery predicts stock excess returns. We find from both in-sample and out-of-sample tests that all 21 portfolio excess returns are predictable. We show that a mean-variance investor by tracking price discovery is able to devise profitable trading strategies. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30090200/narayan-pricediscovery-2016.pdf http://www.dx.doi.org/10.1016/j.pacfin.2016.08.009 |
Direitos |
2016, Elsevier B.V. |
Tipo |
Journal Article |