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 KumarORCID iD for Narayan, Paresh Kumar
Phan, Dinh Hoang Bach
Thuraisamy, KannanORCID iD for Thuraisamy, Kannan
Westerlund, JoakimORCID iD for 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.
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Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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Created: Mon, 12 Dec 2016, 12:47:08 EST

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