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Testing for stock return predictability in a large Chinese panel

Westerlund, Joakim LU ; Narayan, Paresh Kumar and Zheng, Xinwei (2015) In Emerging Markets Review 24. p.81-100
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.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Panel data, Bias, Cross-section dependence, Predictive regression, Stock, return predictability, China
in
Emerging Markets Review
volume
24
pages
81 - 100
publisher
Elsevier
external identifiers
  • wos:000363082600006
  • scopus:84930945690
ISSN
1566-0141
DOI
10.1016/j.ememar.2015.05.004
language
English
LU publication?
yes
id
e7f58866-34c3-4340-ae75-28e56a88d71d (old id 8201577)
date added to LUP
2015-11-26 11:36:20
date last changed
2017-03-26 03:12:06
@article{e7f58866-34c3-4340-ae75-28e56a88d71d,
  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.},
  author       = {Westerlund, Joakim and Narayan, Paresh Kumar and Zheng, Xinwei},
  issn         = {1566-0141},
  keyword      = {Panel data,Bias,Cross-section dependence,Predictive regression,Stock,return predictability,China},
  language     = {eng},
  pages        = {81--100},
  publisher    = {Elsevier},
  series       = {Emerging Markets Review},
  title        = {Testing for stock return predictability in a large Chinese panel},
  url          = {http://dx.doi.org/10.1016/j.ememar.2015.05.004},
  volume       = {24},
  year         = {2015},
}