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Stock return predictability and determinants of predictability and profits

Version 2 2024-06-13, 09:38
Version 1 2016-07-11, 16:45
journal contribution
posted on 2024-06-13, 09:38 authored by D Bannigidadmath, PK Narayan
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.

History

Journal

Emerging markets review

Volume

26

Pagination

153-173

Location

Amsterdam, The Netherlands

ISSN

1566-0141

eISSN

1873-6173

Language

eng

Publication classification

C1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2015, Elsevier B.V.

Publisher

Elsevier