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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/21582

Title: Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors
Authors: Sousa, Ricardo M.
Vivian, Andrew J.
Wohar, Mark E.
Keywords: Return forecasting
BRICS countries
Macro variables
Macro-financial variables
US/global variables
Emerging markets
Issue Date: 2016
Publisher: © Elsevier
Citation: 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.
Abstract: © 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.
Description: 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.2015.09.001
Version: Accepted for publication
DOI: 10.1016/j.iref.2015.09.001
URI: https://dspace.lboro.ac.uk/2134/21582
Publisher Link: http://dx.doi.org/10.1016/j.iref.2015.09.001
ISSN: 1059-0560
Appears in Collections:Published Articles (Business)

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