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dc.contributor.authorKostakis, Alexandrosen
dc.contributor.authorMagdalinos, Tassosen
dc.contributor.authorStamatogiannis, Michalis P.en
dc.creatorKostakis, Alexandrosen
dc.creatorMagdalinos, Tassosen
dc.creatorStamatogiannis, Michalis P.en
dc.date.accessioned2019-05-03T05:22:23Z
dc.date.available2019-05-03T05:22:23Z
dc.date.issued2015
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/47497
dc.description.abstractThis study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, (2) accommodates testing the joint predictive ability of financial variables in multiple regression, (3) is easy to implement as it is based on a linear estimation procedure, and (4) can be used for long-horizon predictability tests. We provide some evidence in favor of short-horizon predictability during the 1927-2012 period. Nevertheless, this evidence almost entirely disappears in the post–1952 period. Moreover, predictability becomes weaker, not stronger, as the predictive horizon increases.en
dc.sourceReview of Financial Studiesen
dc.titleRobust econometric inference for stock return predictabilityen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doihttps://doi.org/10.1093/rfs/hhu139
dc.description.volume28
dc.description.issue5
dc.description.startingpage1506
dc.description.endingpage1553
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.contributor.orcidStamatogiannis, Michalis P. [0000-0002-7283-7550]
dc.description.totalnumpages1506-1553


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