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International Stock Return Predictability: Evidence from New Statistical Tests

Authors
  • Charles, Amélie
  • Darné, Olivier
  • Kim, Jae
Publication Date
Oct 01, 2017
Source
Kaleidoscope Open Archive
Keywords
Language
English
License
Unknown
External links

Abstract

We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure , change in volume), and short-term interest rates. We adopt two new alternative testing and estimation methods: the improved augmented regression method and wild bootstrapping of predictive model based on a restricted VAR form. Both

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