Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Price Discovery and Asset Pricing
Författare
Summary, in English
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.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2016
Språk
Engelska
Sidor
224-235
Publikation/Tidskrift/Serie
Pacific Basin Finance Journal
Volym
40
Issue
A
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Business Administration
Nyckelord
- Price discovery
- Asset pricing
- Islamic stocks
- Predictive regression
- Out-of-sample
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0927-538X