![Joakim Westerlund. Foto.](/sites/ehl.lu.se/files/styles/lu_personal_page_desktop/public/2024-04/JoakimWesterlund.jpg.webp?itok=-v8nhHZY)
Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
![Joakim Westerlund. Foto.](/sites/ehl.lu.se/files/styles/lu_personal_page_desktop/public/2024-04/JoakimWesterlund.jpg.webp?itok=-v8nhHZY)
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
Aktiv
Published
ISBN/ISSN/Övrigt
- ISSN: 0927-538X