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International Stock Return Predictability: Evidence from New Statistical Tests

Amélie Charles (), Olivier Darné and Jae Kim ()
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Amélie Charles: Audencia Recherche - Audencia Business School

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Abstract: We investigate whether stock returns of international markets are predictable from a range of fundamentals including key financial ratios (dividend-price ratio, dividend-yield, earnings-price ratio, dividend-payout ratio), technical indicators (price pressure , change in volume), and short-term interest rates. We adopt two new alternative testing and estimation methods: the improved augmented regression method and wild bootstrapping of predictive model based on a restricted VAR form. Both

New Economics Papers: this item is included in nep-fmk
Date: 2017-10
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Published in International Review of Financial Analysis, Elsevier, 2017, 54, pp.97-113

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