Stock Return Predictability in the Post-2008 Era

14 Pages Posted: 3 Oct 2015

See all articles by Kenneth Kim

Kenneth Kim

SUNY at Buffalo - School of Management

John R. Nofsinger

University of Alaska Anchorage

Zhenzhen Sun

University of Massachusetts Dartmouth

Date Written: August 15, 2015

Abstract

We test the predictability of eighteen stock return predictors, including classic factors such as firm size, book-to-market, and momentum, along with other proposed predictors from firm-specific, corporate investment, financing, and stock characteristic anomalies. These predictors have power to predict raw returns and risk-adjusted returns (i.e., alpha) at the annual horizon during 1962 to 2008. However, since the Federal Reserve has distorted markets with its monetary policy responses to the financial crisis, none of these eighteen predictors can generate alpha.

Keywords: Stock Return Predictabilty, Return Predictors, Federal Reserve

JEL Classification: E5, G1

Suggested Citation

Kim, Kenneth A. and Nofsinger, John R. and Sun, Zhenzhen, Stock Return Predictability in the Post-2008 Era (August 15, 2015). Journal of Investment Consulting, Vol. 16, No. 1, 31-42, 2015. Available at SSRN: https://ssrn.com/abstract=2660480

Kenneth A. Kim (Contact Author)

SUNY at Buffalo - School of Management ( email )

Jacobs Management Center
Buffalo, NY 14222
United States

John R. Nofsinger

University of Alaska Anchorage ( email )

3211 Providence Drive
Anchorage, AK 99508
United States

HOME PAGE: http://faculty.cbpp.uaa.alaska.edu/jnofsinger/

Zhenzhen Sun

University of Massachusetts Dartmouth ( email )

285 Old Westport Road
Dartmouth, MA 02747-2300
United States

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