Predicting asset returns in the BRICS: the role of macroeconomic and fundamental predictors

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dc.contributor.authorSousa, Ricardo M.por
dc.contributor.authorVivian, Andrewpor
dc.contributor.authorWohar, Mark E.por
dc.date.accessioned2017-03-21T12:27:08Z
dc.date.issued2016-01
dc.description.abstractWe are among the first to provide evidence for the BRICS countries on the predictability of stock returns using macroeconomic, macro-financial and US/global variables and find that there is predictability for all the countries. We consider both in-sample and out-of-sample tests. The gains in predictability are primarily available one quarter ahead, but in some cases, two and four quarters ahead.por
dc.description.publicationversioninfo:eu-repo/semantics/publishedVersionpor
dc.description.sponsorshipSousa acknowledges that this work has been financed by Operational Programme for Competitiveness Factors — COMPETE and by National Funds through the FCT — Portuguese Foundation for Science and Technology within the remit of the project “FCOMP-01- 0124-FEDER-037268” (PEst-C/EGE/UI3182/2013).por
dc.description.sponsorshipCompete 2020, Portugal 2020, Feder, FCTpor
dc.distributioninternationalpor
dc.identifier.doi10.1016/j.iref.2015.09.001por
dc.identifier.issn1059-0560por
dc.identifier.urihttps://hdl.handle.net/1822/45103
dc.language.isoengpor
dc.peerreviewedyespor
dc.publisherElsevierpor
dc.relationinfo:eu-repo/grantAgreement/FCT/COMPETE/132945/PTpor
dc.relation.publisherversionhttp://www.sciencedirect.com/science/article/pii/S1059056015001434por
dc.rightsrestrictedAccesspor
dc.subjectReturn forecastingpor
dc.subjectBRICS countriespor
dc.subjectMacro variablespor
dc.subjectMacro-financial variablespor
dc.subjectUS/global variablespor
dc.subjectEmerging marketspor
dc.subject.fosCiências Sociais::Economia e Gestãopor
dc.subject.wosSocial Sciencespor
dc.titlePredicting asset returns in the BRICS: the role of macroeconomic and fundamental predictorspor
dc.typearticlepor
dspace.entity.typePublicationen
oaire.citationEndPage143por
oaire.citationStartPage122por
oaire.citationTitleInternational Review of Economics & Financepor
oaire.citationVolume41por
sdum.journalInternational Review of Economics & Financepor
sdum.publicationstatusinfo:eu-repo/semantics/publishedVersionpor

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NIPE - Artigos em revistas de circulação internacional com arbitragem científica | Articles in international peer-reviewed journals