Asset pricing and predictability of stock returns in the French market

Siwar Ellouz

International Journal of Managerial and Financial Accounting, 2011, vol. 3, issue 3, 279-303

Abstract: This paper studies the predictability of returns in the French stock market. It provides an analysis of predictable components of monthly common stock returns. We study a single-beta conditional model and we show that stock market risk premium is variable over time and is important for capturing predictable variations of stock returns. We find also that the expected excess returns on small and medium capitalisation stocks are more sensitive to changes in the predetermined variables such as dividend yields, default spread and term spread, than expected excess returns on large capitalisation stocks.

Keywords: predictability; predetermined variables; conditional asset pricing; stock returns; France; stock markets; risk premium; dividend yields; default spread; term spread. (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=41758 (text/html)
Access to full text is restricted to subscribers.

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:ids:injmfa:v:3:y:2011:i:3:p:279-303

Access Statistics for this article

More articles in International Journal of Managerial and Financial Accounting from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().