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Is the predictability of emerging and developed stock markets really exploitable?

Listed author(s):
  • Moreno, David
  • Olmeda, Ignacio

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File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(06)00794-6
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 182 (2007)
Issue (Month): 1 (October)
Pages: 436-454

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Handle: RePEc:eee:ejores:v:182:y:2007:i:1:p:436-454
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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  1. Hui Guo, 2003. "On the out-of-sample predictability of stock market returns," Working Papers 2002-008, Federal Reserve Bank of St. Louis.
  2. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
  3. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad, 2003. "Equity Market Liberalization in Emerging Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(3), pages 275-299.
  4. Teo Jasic & Douglas Wood, 2004. "The profitability of daily stock market indices trades based on neural network predictions: case study for the S&P 500, the DAX, the TOPIX and the FTSE in the period 1965-1999," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 285-297.
  5. Jaap van der Hart & Erica Slagter & Dick van Dijk, 2001. "Stock Selection Strategies in Emerging Markets," Tinbergen Institute Discussion Papers 01-009/4, Tinbergen Institute.
  6. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  7. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  8. John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
  9. Allan Timmermann & M. Hashem Pesaran, 1999. "A Recursive Modelling Approach to Predicting UK Stock Returns," FMG Discussion Papers dp322, Financial Markets Group.
  10. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
  11. K. Rouwenhorst, 1998. "Local Return Factors and Turnover in Emerging Stock Markets," Yale School of Management Working Papers ysm97, Yale School of Management, revised 01 Mar 2001.
  12. Levy, Haim & Sarnat, Marshall, 1970. "International Diversification of Investment Portfolios," American Economic Review, American Economic Association, vol. 60(4), pages 668-675, September.
  13. Paul Weller & Christopher Neely, 1999. "Predictability in International Asset Returns: A Re-examination," Working Papers wp99-03, Warwick Business School, Finance Group.
  14. Eugene F. Fama & Kenneth R. French, "undated". "Value versus Growth: The International Evidence," CRSP working papers 341, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  15. Domowitz, Ian & Glen, Jack & Madhavan, Ananth, 2001. "Liquidity, Volatility and Equity Trading Costs across Countries and over Time," International Finance, Wiley Blackwell, vol. 4(2), pages 221-255, Summer.
  16. Theodor Kohers & Gerald Kohers & Vivek Pandey, 1998. "The contribution of emerging markets in international diversification strategies," Applied Financial Economics, Taylor & Francis Journals, vol. 8(5), pages 445-454.
  17. Zhang, Guoqiang & Eddy Patuwo, B. & Y. Hu, Michael, 1998. "Forecasting with artificial neural networks:: The state of the art," International Journal of Forecasting, Elsevier, vol. 14(1), pages 35-62, March.
  18. Barry, Christopher B. & Goldreyer, Elizabeth & Lockwood, Larry & Rodriguez, Mauricio, 2002. "Robustness of size and value effects in emerging equity markets, 1985-2000," Emerging Markets Review, Elsevier, vol. 3(1), pages 1-30, March.
  19. Jorge L. Urrutia, 1995. "Tests Of Random Walk And Market Efficiency For Latin American Emerging Equity Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 299-309, 09.
  20. Chang, Eui Jung & Lima, Eduardo Jose Araujo & Tabak, Benjamin Miranda, 2004. "Testing for predictability in emerging equity markets," Emerging Markets Review, Elsevier, vol. 5(3), pages 295-316, September.
  21. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
  22. Clare, A D & Thomas, S H & Wickens, M R, 1994. "Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?," Economic Journal, Royal Economic Society, vol. 104(423), pages 303-315, March.
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