Testing for stock return predictability in a large Chinese panel

Research output: Contribution to journalArticle

Abstract

This paper proposes a simple panel data test for stock return predictability that is flexible enough to accommodate three key salient features of the data, namely, predictor persistency and endogeneity, and cross-sectional dependence. Using a large panel of Chinese stock market data comprising more than one million observations, we show that most financial and macroeconomic predictors are in fact able to predict returns. We also show how the extent of the predictability varies across industries and firm sizes. (C) 2015 Elsevier B.V. All rights reserved.

Details

Authors
Organisations
External organisations
  • Deakin University
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • Panel data, Bias, Cross-section dependence, Predictive regression, Stock, return predictability, China
Original languageEnglish
Pages (from-to)81-100
JournalEmerging Markets Review
Volume24
Publication statusPublished - 2015
Publication categoryResearch
Peer-reviewedYes