Average stock returns by month
[DOC File]Risk and Return
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Historical: The average rate of return earned on a stock during some past period. The historical return on an average large stock varied from –3% to +37% during the 1990s, and the average annual return was about 15%. The worm turned after 1999—the average return was negative in 2000, 2001, and 2002, with the S&P 500 down 23.4% in 2002. The ...
[DOC File]Introduction - Fuqua School of Business
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As showed in the following graphs, average stock returns are consistently highest in category MM. That means if the yield curve spread and PE ratio of this month are included in such category, we should hold or buy stocks. PE ratio 10 Year - 3 Month 5 Year - 3 Month High YC ( > 2.2) Mid YC Low YC
[DOC File]I
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where Rt ( Rf, t is the gross return to a stock in month t minus the risk-free rate, and the independent variables – Rm, t ( Rf, t, HmLt, SmBt – are, as before, the month t returns to zero-investment factor-mimicking portfolios designed to capture risk-adjusted market return, book-to-market ratio, and firm size effects on stock returns.
[DOCX File]JETIR Research Journal
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WhereR i= the average monthly excess returns of the stock i, R APT= expected excess returns estimated by APT, R CAPM= expected excess returns estimated by CAPM and α measure the effectiveness of the models. The APT is the accurate model to forecast the returns of the stocks as compare to CAPMif α is close to 1.
[DOC File]Long-term Performance after Stock Splits: A Closer Look
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Over horizons shorter than a month, stock returns also exhibit reversal patterns (See Jegadeesh 1990). If stock dividends are included, the total sample size would be 6077. Desai and Jain (1996) find that post-announcement excess returns are similar for stock dividends and for stock splits.
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