IDEAS home Printed from https://ideas.repec.org/a/prg/jnljes/v2014y2014i1id7p47-63.html
   My bibliography  Save this article

Stock Return Predictability by Bayesian Model Averaging: Evidence from Stock Exchange of Thailand

Author

Listed:
  • Kmonwan Chairakwattana
  • Sarayut Nathaphan

Abstract

This research paper examines the predictability power on future stock returns by employing the concept of Bayesian Model Averaging (BMA). The sample focuses on Stock Exchange of Thailand (SET) over 2001-2011. Predictors for return predictability contain financial information which are dividend yield, Book-to-Market, Earning yield, Default risk premium, Monthly rate of three-month Treasury bill, Term premium, Monthly inflation rate and Term spread. This paper also explores the predictability power over financial crisis, sub-period over 2008-2009. In addition, this paper compares expected returns from two models between BMA and traditional regression (Fama and Macbeth two steps procedure). Results indicated that BMA approach outperforms the traditional regression model.

Suggested Citation

  • Kmonwan Chairakwattana & Sarayut Nathaphan, 2014. "Stock Return Predictability by Bayesian Model Averaging: Evidence from Stock Exchange of Thailand," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2014(1), pages 47-63.
    • Handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:7:p:47-63
    as

    Download full text from publisher

    File URL: http://www.vse.cz/ijes/7
    Download Restriction: free of charge
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:mth:ijafr8:v:8:y:2018:i:4:p:471-481 is not listed on IDEAS

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prg:jnljes:v:2014:y:2014:i:1:id:7:p:47-63. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Stanislav Vojir (email available below). General contact details of provider: https://edirc.repec.org/data/uevsecz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.