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dc.contributor.authorDergiades, Theologos-
dc.contributor.authorPouliasis, Panos K.-
dc.description.abstractThis 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.en_US
dc.sourceInternational Journal of Finance & Economicsen_US
dc.subjectFRASCATI::Social sciences::Economics and Business::Financeen_US
dc.subjectFRASCATI::Social sciences::Economics and Business::Econometricsen_US
dc.subject.otherfrequency domainen_US
dc.subject.otherlong-horizon predictabilityen_US
dc.subject.otherstock returnsen_US
dc.titleShould stock returns predictability be ‘hooked on’ long‐horizon regressions?en_US
dc.contributor.departmentΤμήμα Διεθνών και Ευρωπαϊκών Σπουδώνen_US
Appears in Collections:Department of International and European Studies

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