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dc.contributor.author
Georgiou, Aikaterini
en
dc.date.accessioned
2017-03-20T15:21:43Z
dc.date.available
2017-03-21T01:00:16Z
dc.date.issued
2017-03-20
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/15191
dc.rights
Default License
dc.subject
Predictability of asset prices
en
dc.subject
Predetermined variables
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dc.subject
Capital assets pricing model
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dc.title
Asset Pricing and Stock Return Predictability in the UK market
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heal.type
masterThesis
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heal.keywordURI.LCSH
Rate of return--Econometric models
heal.keywordURI.LCSH
Stocks--Prices--Econometric models
heal.keywordURI.LCSH
Bonds--Prices--Econometric models
heal.keywordURI.LCSH
Capital Asset Pricing Model
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
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heal.references
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A comprehensive look at the empirical performance of equity premium prediction . Review of Financial Studies, 21 (4), pp. 1455 - 1508
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heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
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heal.publicationDate
2017-03-20
heal.abstract
This dissertation was written as part of the MSc in Banking and Finance at the International Hellenic University. T ime - series predictability of asset prices has been one of the most controversial subjects for several decades now due to its significant theoretical and practical implications. Empirical literature indicates s ubstantial evidence of time - varying returns internationally, and the primary focus lies o n retrieving specific econometric models and explanatory variables that can capture most , if not all, of that predictability. Awareness of the fact that stock returns are predictable does not specify to investors which components have predictive power (Let tau and Ludvigson, 200 1 ) . Hence, i t is an issue of economic interest as long as it sheds light on investors’ decision making process and the functioning of financial markets (Pesaran and Timmermann, 2000). This paper’s motivation is to examine a particular stock index, the Financial Times Stock Exchange 100 (FTSE 100) and retrieve information on the forecastability of specific attributes on it. Specifically, t his thesis examines whether t he Capital Asset Pricing Model (CAPM) can explain the stock return predictability in the British market, based on the methodology of Kirby (1998), Ferson and Harvey (1999) and Fletcher (2001) . The study retrieves evidence that UK stock returns are too pred ictable and CAPM does not manage to explain entirely the predictability generated by the predictive variable s employed . The findings confirm previous research and indicate the necessity to stress our focus on modifying either the explanatory instruments employed or the entire econometric models.
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heal.advisorName
Archontakis, Fragiskos
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heal.committeeMemberName
Archontakis, Fragiskos
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heal.committeeMemberName
Grose, Chris
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heal.committeeMemberName
Sikalidis, Alexandros
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
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heal.numberOfPages
46
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heal.spatialCoverage
United Kingdom
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