Browsing by Author "Marshall BR"
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- ItemAre individual stock returns predictable?(SAGE Publications on behalf of the University of New South Wales, 2022-02) Zeng H; Marshall BR; Nguyen NH; Visaltanachoti NWe show that the previously documented predictability of macroeconomic and technical variables for market returns is also evident in individual stock returns. Technical variables generate better predictability on firms with high limits to arbitrage (small, illiquid, volatile firms), while macroeconomic variables better predict firms with low limits to arbitrage. Technical predictors show a stronger predictive power for high limits to arbitrage firms across the business cycle, whereas macroeconomic variables capture more predictive information for firms with low limits to arbitrage during recessions.
- ItemEstimating Long-Term Expected Returns(Taylor and Francis Group, 2024-07-01) Ma R; Marshall BR; Nguyen NH; Visaltanachoti NEstimating long-term expected returns as accurately as possible is of critical importance. Researchers typically base their estimates on yield and growth, valuation, or a combined yield, growth, and valuation (“three-component”) framework. We run a horse race of the abilities of different frameworks and input proxies within each framework to estimate 10- and 20-year out-of-sample returns. The three-component model based on the TRCAPE valuation proxy outperforms estimates based on historical mean benchmark returns, with mean square error improvements exceeding 30%. Using this approach in asset allocation decisions results in an improvement in Sharpe ratios of more than 50%.
- ItemWhat influences demand for Buy Now, Pay Later credit?(Elsevier B V, 2024-09) Chen T; Marshall BR; Nguyen NH; Visaltanachoti NWe investigate the determinants of demand for Buy Now, Pay Later (BNPL) credit using a comprehensive database from New Zealand. We consider both absolute demand and relative to total personal lending demand. The results indicate that BNPL is more popular with single individuals, younger people, and those on lower incomes. There is a negative relation between absolute and relative BNPL demand and interest rates. BNPL demand was reduced during the period around responsible lending legislation changes, even though these were not specifically related to BNPL, while demand increased following the end of COVID-19 lockdowns.