Publicação
Predicting asset returns in the BRICS: the role of macroeconomic and fundamental predictors
| Resumo: | We are among the first to provide evidence for the BRICS countries on the predictability of stock returns using macroeconomic, macro-financial and US/global variables and find that there is predictability for all the countries. We consider both in-sample and out-of-sample tests. The gains in predictability are primarily available one quarter ahead, but in some cases, two and four quarters ahead. |
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| Autores principais: | Sousa, Ricardo M. |
| Outros Autores: | Vivian, Andrew; Wohar, Mark E. |
| Assunto: | Return forecasting BRICS countries Macro variables Macro-financial variables US/global variables Emerging markets |
| Ano: | 2016 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | We are among the first to provide evidence for the BRICS countries on the predictability of stock returns using macroeconomic, macro-financial and US/global variables and find that there is predictability for all the countries. We consider both in-sample and out-of-sample tests. The gains in predictability are primarily available one quarter ahead, but in some cases, two and four quarters ahead. |
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