International stock return predictability: Is the role of U.S. time-varying?
نویسندگان
چکیده
منابع مشابه
International Stock Return Predictability under Model Uncertainty
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...
متن کاملInternational stock return predictability under model uncertainty
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...
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ژورنال
عنوان ژورنال: Empirica
سال: 2015
ISSN: 0340-8744,1573-6911
DOI: 10.1007/s10663-015-9313-3