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U.K. Stock Returns: Predictability and Business Conditions

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Author Info
Black, Angela
Fraser, Patricia

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Abstract

This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the future state of the economy. Futher, 'news' on future business conditions in the economy would appear to be related to the observed persistence in the conditional variance of excess returns. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester

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Publisher Info
Article provided by Blackwell Publishing in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 63 (1995)
Issue (Month): 0 (Suppl.)
Pages: 85-102
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Handle: RePEc:bla:manch2:v:63:y:1995:i:0:p:85-102

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  1. David Lovatt, Ashok Parikh, 2000. "Stock returns and economic activity: the UK case," European Journal of Finance, Taylor and Francis Journals, vol. 6(3), pages 280-297, September. [Downloadable!] (restricted)
  2. Jeffrey E. Jarrett & Eric Kyper, 2006. "Capital market efficiency and the predictability of daily returns," Applied Economics, Taylor and Francis Journals, vol. 38(6), pages 631-636, April. [Downloadable!] (restricted)
  3. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]
  4. Menelaos Karanasos & J. Kim, . "Alternative GARCH in Mean Models: An Application to the Korean Stock Market," Discussion Papers 00/25, Department of Economics, University of York. [Downloadable!]
  5. M. Hashem Pesaran, 2005. "Market Efficiency Today," IEPR Working Papers 05.41, Institute of Economic Policy Research (IEPR). [Downloadable!]
  6. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer, vol. 33(2), pages 111-127, April. [Downloadable!] (restricted)
  7. Patricia Fraser, Andrew J. McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 39-62, March. [Downloadable!] (restricted)
  8. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  9. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
  10. Nektarios Aslanidis, 2002. "Smooth Transition Regression Models in UK Stock Returns," Working Papers 0201, University of Crete, Department of Economics. [Downloadable!]
  11. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, . "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York. [Downloadable!]
    Other versions:
  12. Michael Andersen & Robert Subbaraman, 1996. "Share Prices and Investment," RBA Research Discussion Papers rdp9610, Reserve Bank of Australia. [Downloadable!]
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