Predicting stock returns: some European evidence

Amado Peiró

Applied Economics, 2022, vol. 54, issue 57, 6596-6604

Abstract: This paper examines the predictability of stock returns for different European sectors. Using monthly returns from 14 industries for the period 1988–2019, it is found that past movements in some industries do help to forecast future movements in other industries. Nevertheless, results also show that this relationship emerges in the years between 1999–2009, but disappears afterwards.

Date: 2022
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DOI: 10.1080/00036846.2022.2073330

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