International Evidence on the Predictability of Stock Returns
AbstractThis article examines the predictability of stock returns using international stock market data from eighteen countries. The study finds that the ability of dividend yields to predict stock returns increases as the return horizon lengthens from one month to forty-eight months. These results add to earlier ones, based on U.S. turn horizon. The study also explores why the observed pattern of predictability arises and provides evidence supporting the reasons suggested by Fama and French. Copyright 1993 by MIT Press.
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Bibliographic InfoArticle provided by Eastern Finance Association in its journal The Financial Review.
Volume (Year): 28 (1993)
Issue (Month): 2 (May)
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- Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
- A. Sensoy & Benjamin Miranda Tabak, 2013. "How much random does European Union walk? A time-varying long memory analysis," Working Papers Series 342, Central Bank of Brazil, Research Department.
- Andreas Humpe & Peter Macmillan, 2007. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CDMA Working Paper Series 200720, Centre for Dynamic Macroeconomic Analysis.
- Andreas Humpe & Peter D. Macmillan, 2005. "Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan," CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm.
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