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International Stock Return Predictability: Evidence from New Statistical Tests

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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https://hal-audencia.archives-ouvertes.fr/hal-01626101
Contributor : Amelie Charles Connect in order to contact the contributor
Submitted on : Monday, October 30, 2017 - 12:12:49 PM
Last modification on : Thursday, April 28, 2022 - 4:03:02 PM
Long-term archiving on: : Wednesday, January 31, 2018 - 12:39:38 PM

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

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