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Is stock return predictability time-varying?
journal contribution
posted on 2018-01-01, 00:00 authored by Neluka Devpura, Paresh Narayan, Susan SharmaSusan SharmaUsing 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.
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Journal
Journal of international financial markets, institutions and moneyVolume
52Pagination
152 - 172Publisher
ElsevierLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
1042-4431Language
engPublication classification
C Journal article; C1 Refereed article in a scholarly journalCopyright notice
2017, Elsevier B.V.Usage metrics
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