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Are Indian stock returns predictable?

journal contribution
posted on 2015-09-01, 00:00 authored by Paresh Narayan, Deepa Bannigidadmath
In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous. Some predictors are important than others and some industries and portfolios of stocks are more predictable and, therefore, more profitable than others. We also discover that a mean combination forecast approach delivers significant out-of-sample performance. Our results survive a battery of robustness tests.

History

Journal

Journal of banking and finance

Volume

58

Pagination

506 - 531

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0378-4266

Language

eng

Publication classification

C1 Refereed article in a scholarly journal; C Journal article

Copyright notice

2015, Elsevier