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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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