Vivian_RMS_AV_MW_20150525 - ACCEPTED.pdf (587.92 kB)
Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors
journal contribution
posted on 2016-06-10, 10:21 authored by Ricardo M. Sousa, Andrew VivianAndrew Vivian, Mark Wohar© 2015 Elsevier Inc. 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.
History
School
- Business and Economics
Department
- Business
Published in
International Review of Economics and FinanceVolume
41Pages
122 - 143Citation
SOUSA, R.M., VIVIAN, A. and WOHAR, M.E., 2016. Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors. International Review of Economics and Finance, 41, pp. 122-143.Publisher
© ElsevierVersion
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2015-09-09Notes
This paper was accepted for publication in the journal International Review of Economics and Finance and the definitive published version is available at http://dx.doi.org/10.1016/j.iref.2015.09.001ISSN
1059-0560Publisher version
Language
- en