Stock return predictability and determinants of predictability and profits
Data(s) |
01/03/2016
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Resumo |
We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by tracking financial ratios. For the first time in this literature, we examine the determinants of time-varying predictability and mean-variance profits. We show that both expected and unexpected shocks emanating from most financial ratios explain sectoral return predictability and profits. These are fresh contributions to the understanding of asset pricing. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30084851/narayan-stockreturn-2016.pdf http://www.dx.doi.org/10.1016/j.ememar.2015.12.003 |
Direitos |
2015, Elsevier B.V. |
Palavras-Chave | #Social Sciences #Business, Finance #Economics #Business & Economics #Stock returns #Predictability #Profits #Sectors #Mean-variance #India #EQUITY PREMIUM PREDICTION #BOOK-TO-MARKET #TIME-SERIES #INDUSTRY CONCENTRATION #EXPECTED RETURNS #EXCHANGE-RATE #MODELS #TESTS #VOLATILITY #FORECASTS |
Tipo |
Journal Article |