Predicting global stock returns
By: Erik Hjalmarsson.
Series: International finance discussion papers -- no. 933; International finance discussion papers (Online) -- no. 933.
Publisher: Federal Reserve Board
Published: 2008
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend- and earnings-price ratios, the short interest rate, and the term spread.  The data contain over 20,000 monthly observations from 40 international markets, including 24 developed and 16 emerging economies.  In addition, I develop new methods for predictive regressions with panel data.  Inference based on the standard fixed effects estimator is shown to suffer from severe size distortions in the typical stock return regression, and an alternative robust estimator is proposed.  The empirical results indicate that the short interest rate and the term spread are fairly robust predictors of stock returns in developed markets.  In contrast, no strong or consistent evidence of predictability is found when considering the earnings- and dividend-price ratios as predictors"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/18/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.