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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
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316159

DOI: 10.1016/j.frl.2020.101801

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