Predictability of market returns for the UK's former colonies, protectorates, and mandates

Takuro Hidaka () and Jun Sakamoto ()
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Takuro Hidaka: Graduate School of Economics, Osaka University
Jun Sakamoto: Kobe International University

No 21-08, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: We examine the predictive power of UK market returns relative to the those of countries that were once under strong UK influence. We evaluated the Sharpe ratio of monthly returns and terminal wealth in out-of-sample. The results show that the strategy using UK market returns outperformed those assuming independently and identically distributed for returns and using market returns of other developed countries. This result becomes substantial as the investment period increases. Furthermore, in a three-year holding period, the investment strategy using the UK market return has first-order stochastic dominance over other investment strategies.

Keywords: Return predictability; Emerging market; Investment strategy (search for similar items in EconPapers)
JEL-codes: G11 G15 G17 (search for similar items in EconPapers)
Pages: 9pages
Date: 2021-06
New Economics Papers: this item is included in nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:osk:wpaper:2108

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