Stock return predictability and determinants of predictability and profits
By D. Bannigidadmath, Paresh Kumar Narayan. 2016
181 citations recorded by the source corpus.
We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by tracking financial ratios. For the first time in this literature, we examine the determinants of time-varying predictability and mean-variance profits. We show that both expected and unexpected shocks emanating from most financial ratios explain sectoral return predictability and profits. These are fresh contributions to the understanding of asset pricing.
Subfields: Accounting, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e097cae92e7864b26048743bc1a91d0801f70499
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Citations in the corpus
- Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables (2019, result): “However, recent studies, both those that are not oil-based (see Bannigidadmath and Narayan, 2015; Narayan and Bannigidadmath, 2015; Devpura et al., 2018) and those that are oil-based (see Narayan and Gupta, 2015; Phan et al., 2015) upturned the results of earlier studies by using the approach of…”