Stock return predictability and determinants of predictability and profits

Bannigidadmath Deepa; Narayan Paresh Kumar

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Stock return predictability and determinants of predictability and profits

机译：股票收益的可预测性以及可预测性和利润的决定因素

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We examine stock return predictability for India and find strong evidence of sectoral return predictability over market return predictability. We show that mean-variance investors make statistically significant and economically meaningful profits by tracking financial ratios. For the first time in this literature, we examine the determinants of time varying predictability and mean-variance profits. We show that both expected and unexpected shocks emanating from most financial ratios explain sectoral return predictability and profits. These are fresh contributions to the understanding of asset pricing. (C) 2015 Elsevier B.V. All rights reserved.

机译：我们研究了印度的股票收益可预测性，并找到了部门收益可预测性超过市场收益可预测性的有力证据。我们表明，均值方差投资者可以通过跟踪财务比率来获得具有统计意义和经济意义的利润。在本文中，我们第一次研究了时变可预测性和均值方差利润的决定因素。我们表明，大多数财务比率产生的预期和意外冲击都可以说明部门收益的可预测性和利润。这些都是对资产定价理解的新贡献。（C）2015 Elsevier B.V.保留所有权利。

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来源
《Emerging markets review》 |2016年第3期|153-173|共21页
作者
Bannigidadmath Deepa; Narayan Paresh Kumar;
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作者单位

Deakin Univ, Deakin Business Sch, Ctr Financial Econometr, Geelong, Vic 3217, Australia;

Deakin Univ, Deakin Business Sch, Ctr Financial Econometr, Geelong, Vic 3217, Australia;

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原文格式 PDF
正文语种 eng
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关键词
Stock returns; Predictability; Profits; Sectors; Mean-variance; India;

机译：股票收益;可预测性;利润;部门;均值方差;印度;

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Stock return predictability and determinants of predictability and profits

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