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Stock Return Predictability in South Africa: An Alternative Approach

Author

Listed:
  • Ailie Charteris
  • Barry Strydom

Abstract

There is considerable debate internationally as to whether share returns are predictable. The limited evidence in South Africa (Gupta and Modise, 2012a, b and 2013) reveals that valuation ratios have no forecasting power but the Treasury bill rate, term spread and money supply have been found to be able to predict share returns at a […]

Suggested Citation

  • Ailie Charteris & Barry Strydom, 2016. "Stock Return Predictability in South Africa: An Alternative Approach," Working Papers 608, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:608
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    More about this item

    Keywords

    capital market; econometric modelling; Macroeconomic Models; South Africa; Time Series Analysis;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G1 - Financial Economics - - General Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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