The Predictability of Aggregate Stock Market Returns: Evidence Based on Glamour Stocks

We find that annual excess returns on the stock market index are negatively related to the returns of glamour stocks in the previous 36‐month period. In contrast, neither returns of value stocks nor aggregate stock market returns, purged of glamour stock effects, have any predictive power. In additi...

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Veröffentlicht in:	The Journal of business (Chicago, Ill.) Ill.), 2004-04, Vol.77 (2), p.275-294
Hauptverfasser:	Eleswarapu, Venkat R., Reinganum, Marc R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Abnormal returns Accounting Cash flow Cash flow forecasting Discount rates Financial portfolios Fiscal years Growth stocks Indexes Investments Market portfolios Market value Noise Predictions Prices Rates of return Regression analysis Regression coefficients Securities markets Skewed distribution Skewness Stock exchanges Stock market returns Stock markets Stock prices Studies Value stocks
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