Dynamic return predictability in the Russian stock market

Article history: This paper explores whether the relevance of a conditional multifacReceived 12 July 2012 tor model and autocorrelation in predicting the Russian aggregate Received in revised form 2 October 2012 stock return fluctuates over time. The source of return predictability is Accepted 16 December 2012 shown to vary considerably with information flow. In general, Available online 22 December 2012 predictability of the Russian stock market return is at a high level. Autocorrelation increases during periods of low information flow. JEL classification: During periods of high information, conditional exposure to the local G12 market risk and changes in oil price influence the expected return on G15 the Russian stock market. The lagged global stock market factor and currency returns have insignificant influence.