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Journal Articles International Review of Financial Analysis Year : 2017

International Stock Return Predictability: Evidence from New Statistical Tests

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Abstract

We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure , change in volume), and short-term interest rates. We adopt two new alternative testing and estimation methods: the improved augmented regression method and wild bootstrapping of predictive model based on a restricted VAR form. Both
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Dates and versions

hal-01626101 , version 1 (30-10-2017)

Identifiers

  • HAL Id : hal-01626101 , version 1

Cite

Amélie Charles, Olivier Darné, Jae H Kim. International Stock Return Predictability: Evidence from New Statistical Tests. International Review of Financial Analysis, 2017, 54, pp.97-113. ⟨hal-01626101⟩
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