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Predictability of market returns for the UK's former colonies, protectorates, and mandates

Author

Listed:
  • Takuro Hidaka

    (Graduate School of Economics, Osaka University)

  • Jun Sakamoto

    (Kobe International University)

Abstract

We examine the predictive power of UK market returns relative to the those of countries that were once under strong UK influence. We evaluated the Sharpe ratio of monthly returns and terminal wealth in out-of-sample. The results show that the strategy using UK market returns outperformed those assuming independently and identically distributed for returns and using market returns of other developed countries. This result becomes substantial as the investment period increases. Furthermore, in a three-year holding period, the investment strategy using the UK market return has first-order stochastic dominance over other investment strategies.

Suggested Citation

  • Takuro Hidaka & Jun Sakamoto, 2021. "Predictability of market returns for the UK's former colonies, protectorates, and mandates," Discussion Papers in Economics and Business 21-08, Osaka University, Graduate School of Economics.
    • Handle: RePEc:osk:wpaper:2108
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    References listed on IDEAS

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    More about this item

    Keywords

    Return predictability; Emerging market; Investment strategy;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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