International stock return predictability: Evidence from new statistical tests
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DOI: 10.1016/j.irfa.2016.06.005
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- Amélie Charles & Olivier Darné & Jae H Kim, 2017. "International Stock Return Predictability: Evidence from New Statistical Tests," Post-Print hal-01626101, HAL.
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International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 718-732, January.
- Theologos Dergiades & Panos K. Pouliasis, 2021. "Should Stock Returns Predictability be hooked on Long Horizon Regressions?," Discussion Paper Series 2021_03, Department of Economics, University of Macedonia, revised Feb 2021.
- Xu, Yongan & Wang, Jianqiong & Chen, Zhonglu & Liang, Chao, 2021. "Economic policy uncertainty and stock market returns: New evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
- Jurdi, Doureige J., 2022. "Predicting the Australian equity risk premium," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
- Yin, Anwen, 2019. "Out-of-sample equity premium prediction in the presence of structural breaks," International Review of Financial Analysis, Elsevier, vol. 65(C).
- Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019. "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 1-9.
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More about this item
Keywords
Augmented regression method; Financial ratios; Forecasting; Technical indicators; Wild bootstrap;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
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