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Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors

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journal contribution
posted on 10.06.2016 by Ricardo M. Sousa, Andrew 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 Finance

Volume

41

Pages

122 - 143

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.

Publisher

© Elsevier

Version

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

2015-09-09

Notes

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

ISSN

1059-0560

Language

en

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