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Price discovery and asset pricing

Narayan, Paresh Kumar, Phan, Dinh Hoang Bach, Thuraisamy, Kannan and Westerlund, Joakim 2016, Price discovery and asset pricing, Pacific-basin finance journal, vol. 40, no. Part A, pp. 224-235, doi: 10.1016/j.pacfin.2016.08.009.

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Title Price discovery and asset pricing
Author(s) Narayan, Paresh Kumar
Phan, Dinh Hoang Bach
Thuraisamy, Kannan
Westerlund, Joakim
Journal name Pacific-basin finance journal
Volume number 40
Issue number Part A
Start page 224
End page 235
Total pages 12
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-12
ISSN 0927-538X
Summary 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.
Language eng
DOI 10.1016/j.pacfin.2016.08.009
Field of Research 150202 Financial Econometrics
1502 Banking, Finance And Investment
1501 Accounting, Auditing And Accountability
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2016, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30090200

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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