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Testing for stock return predictability in a large Chinese panel

Westerlund, Joakim, Narayan, Paresh Kumar and Zheng, Xinwei 2015, Testing for stock return predictability in a large Chinese panel, Emerging markets review, vol. 24, pp. 81-100, doi: 10.1016/j.ememar.2015.05.004.

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Title Testing for stock return predictability in a large Chinese panel
Author(s) Westerlund, Joakim
Narayan, Paresh Kumar
Zheng, XinweiORCID iD for Zheng, Xinwei orcid.org/0000-0001-5970-4609
Journal name Emerging markets review
Volume number 24
Start page 81
End page 100
Total pages 20
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-09-01
ISSN 1566-0141
1873-6173
Keyword(s) Bias
China
Cross-section dependence
Panel data
Predictive regression
Stock return predictability
Summary This paper proposes a simple panel data test for stock return predictability that is flexible enough to accommodate three key salient features of the data, namely, predictor persistency and endogeneity, and cross-sectional dependence. Using a large panel of Chinese stock market data comprising more than one million observations, we show that most financial and macroeconomic predictors are in fact able to predict returns. We also show how the extent of the predictability varies across industries and firm sizes.
Language eng
DOI 10.1016/j.ememar.2015.05.004
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30074076

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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Created: Fri, 21 Aug 2015, 08:30:14 EST

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