International Stock Return Predictability: Evidence from New Statistical Tests
نویسندگان
چکیده
We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividendyield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure, change in volume), and short-term interest rates. We adopt two new alternative testing and estimation methods: the improved augmented regression method and wild bootstrapping of predictive model based on a restricted VAR form. Both ∗Audencia Business School of Management, 8 route de la Jonelire, 44312 Nantes, France. Email: [email protected]. †LEMNA, University of Nantes, IEMN–IAE, Chemin de la Censive du Tertre, BP 52231, 44322 Nantes, France. Email: [email protected]. ‡Olivier Darné gratefully acknowledge financial support from the Chaire Finance of the University of Nantes Research Foundation. §Corresponding Author: [email protected]; All computations are conducted using the VAR.etp package (Kim, 2014c) based on R (R Core team, 2014). The R codes used in this paper are available from the authors on request.
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