Stock return predictability and determinants of predictability and profits

Bannigidadmath, Deepa and Narayan, Paresh Kumar 2016, Stock return predictability and determinants of predictability and profits, Emerging markets review, vol. 26, pp. 153-173, doi: 10.1016/j.ememar.2015.12.003.

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Title Stock return predictability and determinants of predictability and profits
Author(s) Bannigidadmath, Deepa
Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
Journal name Emerging markets review
Volume number 26
Start page 153
End page 173
Total pages 21
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-03
ISSN 1566-0141
1873-6173
Keyword(s) Social Sciences
Business, Finance
Economics
Business & Economics
Stock returns
Predictability
Profits
Sectors
Mean-variance
India
EQUITY PREMIUM PREDICTION
BOOK-TO-MARKET
TIME-SERIES
INDUSTRY CONCENTRATION
EXPECTED RETURNS
EXCHANGE-RATE
MODELS
TESTS
VOLATILITY
FORECASTS
Summary We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by tracking financial ratios. For the first time in this literature, we examine the determinants of time-varying predictability and mean-variance profits. We show that both expected and unexpected shocks emanating from most financial ratios explain sectoral return predictability and profits. These are fresh contributions to the understanding of asset pricing.
Language eng
DOI 10.1016/j.ememar.2015.12.003
Field of Research 150202 Financial Econometrics
1402 Applied Economics
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30084851

Document type: Journal Article
Collection: Department of Finance
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