Testing for stock return predictability in a large Chinese panel
Författare
Summary, in English
This paper proposes a simple panel data test for stock return predictability that is flexible enough to accommodate three key salient features of the data, namely, predictor persistency and endogeneity, and cross-sectional dependence. Using a large panel of Chinese stock market data comprising more than one million observations, we show that most financial and macroeconomic predictors are in fact able to predict returns. We also show how the extent of the predictability varies across industries and firm sizes. (C) 2015 Elsevier B.V. All rights reserved.
Avdelning/ar
Publiceringsår
2015
Språk
Engelska
Sidor
81-100
Publikation/Tidskrift/Serie
Emerging Markets Review
Volym
24
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Panel data
- Bias
- Cross-section dependence
- Predictive regression
- Stock
- return predictability
- China
Aktiv
Published
ISBN/ISSN/Övrigt
- ISSN: 1566-0141