Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083240 | International Review of Economics & Finance | 2016 | 49 Pages |
Abstract
We are among the first to provide evidence for the BRICS countries on the predictability of stock returns using macroeconomic, macro-financial and US/global variables and find that there is predictability for all the countries. We consider both in-sample and out-of-sample tests. The gains in predictability are primarily available one quarter ahead, but in some cases, two and four quarters ahead.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ricardo M. Sousa, Andrew Vivian, Mark E. Wohar,