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

doi:10.1016/j.iref.2015.09.001

Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/45103

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Campo DC	Valor	Idioma
dc.contributor.author	Sousa, Ricardo M.	por
dc.contributor.author	Vivian, Andrew	por
dc.contributor.author	Wohar, Mark E.	por
dc.date.accessioned	2017-03-21T12:27:08Z	-
dc.date.issued	2016-01	-
dc.identifier.issn	1059-0560	por
dc.identifier.uri	https://hdl.handle.net/1822/45103	-
dc.description.abstract	We 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.sponsorship	Sousa 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.sponsorship	Compete 2020, Portugal 2020, Feder, FCT	por
dc.language.iso	eng	por
dc.publisher	Elsevier 1	por
dc.relation	info:eu-repo/grantAgreement/FCT/COMPETE/132945/PT	por
dc.rights	restrictedAccess	por
dc.subject	Return forecasting	por
dc.subject	BRICS countries	por
dc.subject	Macro variables	por
dc.subject	Macro-financial variables	por
dc.subject	US/global variables	por
dc.subject	Emerging markets	por
dc.title	Predicting asset returns in the BRICS: the role of macroeconomic and fundamental predictors	por
dc.type	article	por
dc.peerreviewed	yes	por
dc.relation.publisherversion	http://www.sciencedirect.com/science/article/pii/S1059056015001434	por
sdum.publicationstatus	info:eu-repo/semantics/publishedVersion	por
oaire.citationStartPage	122	por
oaire.citationEndPage	143	por
oaire.citationTitle	International Review of Economics & Finance	por
oaire.citationVolume	41	por
dc.identifier.doi	10.1016/j.iref.2015.09.001	por
dc.subject.fos	Ciências Sociais::Economia e Gestão	por
dc.description.publicationversion	info:eu-repo/semantics/publishedVersion	por
dc.subject.wos	Social Sciences	por
sdum.journal	International Review of Economics & Finance	por
Aparece nas coleções:	NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica