• Media type: E-Book
  • Title: Do Accounting Information and Market Environment Matter for Cross-Asset Predictability?
  • Contributor: Thakerngkiat, Narongdech [Author]; Nguyen, Harvey [Author]; Nguyen, Nhut H. [Author]; Visaltanachoti, Nuttawat [Author]
  • Published: [S.l.]: SSRN, [2021]
  • Published in: Accounting and Finance
  • Extent: 1 Online-Ressource (50 p)
  • Language: English
  • DOI: 10.2139/ssrn.3792800
  • Identifier:
  • Keywords: Limits to Arbitrage ; Information Diffusion ; Cross-Asset Predictability
  • Origination:
  • Footnote: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 25, 2021 erstellt
  • Description: This paper examines whether the differences in accounting information between stocks affect cross-asset return predictability. We use a comprehensive set of accounting variables and find that abnormal accruals, earnings smoothness, book-to-market, firm age, leverage, abnormal capital investment, and investment growth, among others, explain the variation in return predictability across pairing stocks. Moreover, our results show that cross-asset predictability varies over time and is associated with funding liquidity and market sentiment. A simple trading strategy based on our findings yields a higher mean return, lower standard deviation, and higher Sharpe ratio compared to the buy-and-hold strategy
  • Access State: Open Access