Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors
journal contributionposted on 10.06.2016 by Ricardo M. Sousa, Andrew Vivian, Mark Wohar
Any type of content formally published in an academic journal, usually following a peer-review process.
© 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.
- Business and Economics