Testing for stock return predictability in a large Chinese panel

Joakim Westerlund, Paresh Narayan () and Xinwei Zheng

Emerging Markets Review, 2015, vol. 24, issue C, 81-100

Abstract: 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.

Keywords: Panel data; Bias; Cross-section dependence; Predictive regression; Stock return predictability; China (search for similar items in EconPapers)
JEL-codes: C22 C23 G1 G12 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:24:y:2015:i:c:p:81-100

DOI: 10.1016/j.ememar.2015.05.004

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