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Testing for stock return predictability in a large Chinese panel

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Author

Summary, in English

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.

Publishing year

2015

Language

English

Pages

81-100

Publication/Series

Emerging Markets Review

Volume

24

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • Panel data
  • Bias
  • Cross-section dependence
  • Predictive regression
  • Stock
  • return predictability
  • China

Status

Published

ISBN/ISSN/Other

  • ISSN: 1566-0141