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Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors

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  • Sousa, Ricardo M.
  • Vivian, Andrew
  • Wohar, Mark E.

Abstract

We are among the first to provide evidence for the BRICS countries on the predictability of stock returns using macroeconomic, macro-financial and US/global variables and find that there is predictability for all the countries. We consider both in-sample and out-of-sample tests. The gains in predictability are primarily available one quarter ahead, but in some cases, two and four quarters ahead.

Suggested Citation

  • Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  • Handle: RePEc:eee:reveco:v:41:y:2016:i:c:p:122-143
    DOI: 10.1016/j.iref.2015.09.001
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    2. Christina Christou & Rangan Gupta, 2016. "Forecasting Equity Premium in a Panel of OECD Countries: The Role of Economic Policy Uncertainty," Working Papers 201622, University of Pretoria, Department of Economics.
    3. repec:trp:01jefa:jefa0003 is not listed on IDEAS
    4. Christina Christou & Rangan Gupta & Fredj Jawadi, 2017. "Does Inequality Help in Forecasting Equity Premium in a Panel of G7 Countries?," Working Papers 201720, University of Pretoria, Department of Economics.
    5. Agnello, Luca & Castro, Vitor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2017. "Spillovers from the oil sector to the housing market cycle," Energy Economics, Elsevier, vol. 61(C), pages 209-220.
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    9. Rangan Gupta & Christian Pierdzioch & Andrew J. Vivian & Mark E. Wohar, 2018. "The Predictive Value of Inequality Measures for Stock Returns: An Analysis of Long-Span UK Data Using Quantile Random Forests," Working Papers 201809, University of Pretoria, Department of Economics.
    10. Ruipeng Liu & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2017. "Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets," Working Papers 201728, University of Pretoria, Department of Economics.
    11. repec:eee:riibaf:v:45:y:2018:i:c:p:293-306 is not listed on IDEAS
    12. Lai, Ya-Wen, 2017. "Macroeconomic factors and index option returns," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 452-477.
    13. repec:eee:reveco:v:57:y:2018:i:c:p:183-197 is not listed on IDEAS
    14. Levent Bulut, 2017. "Does Statistical Significance Help to Evaluate Predictive Performance of Competing Models?," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 1(1), pages 1-13.
    15. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.
    16. Nicholas Apergis & Rangan Gupta, 2016. "Can Weather Conditions in New York Predict South African Stock Returns?," Working Papers 201634, University of Pretoria, Department of Economics.

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