Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors

Ricardo Sousa, Andrew Vivian and Mark Wohar ()

International Review of Economics & Finance, 2016, vol. 41, issue C, 122-143

Abstract: We are among the first to provide evidence for the BRICS countries on the predictability of stock returns using macroeconomic, macro-financial and US/global variables and find that there is predictability for all the countries. We consider both in-sample and out-of-sample tests. The gains in predictability are primarily available one quarter ahead, but in some cases, two and four quarters ahead.

Keywords: Return forecasting; BRICS countries; Macro variables; Macro-financial variables; US/global variables; Emerging markets (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:41:y:2016:i:c:p:122-143

DOI: 10.1016/j.iref.2015.09.001

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