Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7364340 | Journal of International Financial Markets, Institutions and Money | 2018 | 47 Pages |
Abstract
Using historical data (January 1927 to December 2014), this paper shows that stock return predictability is time-varying based on several well-known predictors from the literature. However, only 7 of 14 predictors exhibit this time-varying predictability pattern. For the remaining predictors, either there is no predictability or predictability is not time-dependent. We also examine the determinants of time-varying predictability. We show that (a) both expected and unexpected shocks emanating from financial variables, and (b) phases of predictability (which capture market volatility) explain return predictability.
Related Topics
Social Sciences and Humanities
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Authors
Neluka Devpura, Paresh Kumar Narayan, Susan Sunila Sharma,