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Asset pricing and predictability of stock returns in the french market

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Author Info
Ellouz, Siwar
Bellalah, Mondher
Abstract

This paper studies the predictability of returns in the French stock market. It provides an analysis of predictable components of monthly common stock returns. We study a single-beta conditional model and we show that stock market risk premium is variable over the time and is important for capturing predictable variations of stock returns. We find also that the expected excess returns on small and medium capitalization stocks are more sensitive to changes in the predetermined variables such as dividend yields, default spread and term spread, than expected excess returns on large capitalization stocks.

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File URL: http://mpra.ub.uni-muenchen.de/4961/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 4961.

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Date of creation: 07 Mar 2007
Date of revision: 24 Sep 2007
Handle: RePEc:pra:mprapa:4961

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Related research
Keywords: predictability predetermined variables conditional asset pricing stock returns.

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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