Firm-specific news and the predictability of Consumer stocks in Vietnam
Afees Salisu and
Xuan Vinh Vo
Finance Research Letters, 2021, vol. 41, issue C
Abstract:
In this paper, we hypothesize that firm/sector-specific news will enhance the predictability of firm returns, using consumer stocks of Vietnam. We construct a news-based predictive panel data model for firm returns that accounts for unobserved common factors in line with Chudik and Pesaran (2015), and Westerlund et al. (2017). While the firm-specific news turns out to be a significant predictor of firm returns, its forecast also outperforms the model that involves aggregate stocks news as well as the historical model. Accounting for an observed common factor will further improve the forecast performance of the proposed model.
Keywords: Firm news; Firm stocks prices; Return predictability; Consumer stocks; Vietnam (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320316159
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316159
DOI: 10.1016/j.frl.2020.101801
Access Statistics for this article
Finance Research Letters is currently edited by R. Gençay
More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).