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Re-assessing international stock return predictability: evidence from directional accuracy and excess profitability tests

Boriss Siliverstovs

Applied Economics Letters, 2017, vol. 24, issue 1, 1-3

Abstract: In this article, we assess the informational content of monthly lagged US excess stock returns for sign and mean predictability of stock market returns in 10 industrialized countries using the directional accuracy and excess profitability tests of Pesaran and Timmermann (1992) and Anatolyev and Gerko (2005), respectively. We find only a limited evidence supporting the earlier findings of Rapach et al. (2013) based on the test of Clark and West (2007).

Date: 2017
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Handle: RePEc:taf:apeclt:v:24:y:2017:i:1:p:1-3