Please use this identifier to cite or link to this item:
https://ruomo.lib.uom.gr/handle/7000/1290
Title: | Should stock returns predictability be ‘hooked on’ long‐horizon regressions? |
Authors: | Dergiades, Theologos Pouliasis, Panos K. |
Type: | Article |
Subjects: | FRASCATI::Social sciences::Economics and Business::Finance FRASCATI::Social sciences::Economics and Business::Econometrics |
Keywords: | frequency domain long-horizon predictability stock returns |
Issue Date: | 24-Jan-2021 |
Source: | International Journal of Finance & Economics |
Abstract: | This paper re-examines stock returns predictability over the business cycle using price-dividend and price-earnings valuation ratios as predictors. Unlike prior studies that habitually implement long-horizon/predictive regressions, we conduct a testing framework in the frequency domain. Predictive regressions support no predictability; in contrast, our results in the frequency domain verify significant predictability at medium and long horizons. To robustify predictability patterns, the analysis is executed repetitively for fixed-length rolling samples of various sizes. Overall, the stock returns are predictable for wavelengths higher than 5 years. This finding is robust and independent of time, window size and predictor. |
URI: | https://doi.org/10.1002/ijfe.2446 https://ruomo.lib.uom.gr/handle/7000/1290 |
ISSN: | 1076-9307 1099-1158 |
Other Identifiers: | 10.1002/ijfe.2446 |
Appears in Collections: | Department of International and European Studies |
Files in This Item:
File | Description | Size | Format | |
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IJF&E_2021.pdf | IJFE | 1,11 MB | Adobe PDF | View/Open |
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