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Short-Horizon Return Predictability in International Equity Markets

  • Abul Shamsuddin

    (University of Newcastle)

  • Jae H Kim

    ()

    (Department of Economics and Finance, La Trobe University)

This study measures the degree of short-horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple-horizon variance ratio tests are employed to measure the degree of return predictability. We find evidence that return predictability is negatively correlated with publicly available indicators of equity market development. Our cross-sectional regression analysis shows that the per capita GDP, market turnover, investor protection, and absence of short selling restrictions are correlated with cross-market variations in return predictability.

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File URL: http://www.latrobe.edu.au/__data/assets/pdf_file/0018/130914/2009.01.pdf
File Function: First version, 2009.01.pdf
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Paper provided by School of Economics, La Trobe University in its series Working Papers with number 2009.01.

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Length: 33 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:ltr:wpaper:2009.01
Contact details of provider: Web page: http://www.latrobe.edu.au/economics

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