The Chinese equity premium predictability: Evidence from a long historical data

Feng Ma and Jiawei Cao

Finance Research Letters, 2023, vol. 53, issue C

Abstract: Our paper reexamines the predictability of macroeconomic variables in China over a long period. Contrary to the findings in developed markets that macroeconomic variables have poor in- and out-of-sample forecasting performance in predicting equity premiums, we find that five of nine macroeconomic variables have senior in- and out-of-sample predictability at monthly and longer horizons. Moreover, the forecasting results can generate significant economic value for investors. Our study provides new evidence for Chinese stock prediction using macroeconomic variables.

Keywords: Chinese macroeconomic variables; Equity premium predictability; Dimensionality reduction methods; Long-term return predictability (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000429

DOI: 10.1016/j.frl.2023.103668

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