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Two Essays In Empirical Asset Pricing, Abdullah M. Noman

University of New Orleans Theses and Dissertations

The dissertation consists of two essays. The first essay investigates the ability of prior returns, relative to some aggregate market returns, to predict future returns on industry style portfolios. By pooling time series of returns across industries for the period between July 1969 and June 2012, we find that prior returns differential predicts one month ahead returns negatively, even in the presence of a set of popular state variables. The predictability remains significant and negative for up to 5 month ahead returns. The predictability is shown to be robust to alternative specifications, estimation methodology and industry classifications. A possible explanation …