GAUK 297521: Book-to-market ratio, liquidity and expected stock returns
|Principal investigator:||Mgr. Josef Bajzík|
Mgr. Ing. Kseniya Bortnikova
Mgr. Vojtěch Mišák
|Description:||Hundreds of studies have examined factors that supposedly explain excess returns of some stocks, but the results of the studies vary. These factors are of general interest since they reveal dependencies that clarify the formation of profitable trading strategies. Therefore, I want to conduct a meta-analysis in this area.
Besides other advantages, meta-analysis enables me to investigate the publication bias and help me to get rid of the inter-study heterogeneity. For publication bias study I employ FE, WLS, between-effects, and IV regression. Furthermore, I use modern techniques such as WAAP, kinked meta-regression, the stem-based method, or a non-parametric technique, which were introduced recently.
For the study of the heterogeneity among the estimates, I employ Bayesian model averaging (BMA) and Frequentist model averaging (FMA). These two advanced techniques allow us to weigh the most important models based on their resistance and goodness of fit, respectively, and they show us the influence of each variable that potentially can cause the difference in the estimates from primary studies.
Last, but not least I would suggest the implied estimates for various stock markets. The implies estimates make more precise the profitable trading strategies and shed more light on the event studies.
|Work in grant:|
|Finance:||GAUK 297521, submitted 11/2020|