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Applied Economics Letters Volume 24, 2017 - Issue 11
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Articles

International stock return predictability: on the role of the United States in bad and good times

Boriss SiliverstovsKOF Swiss Economic Institute, ETH Zurich, Zurich, SwitzerlandCorrespondence[email protected]
Pages 771-773 | Published online: 22 Sep 2016

References

  • Ang, A., and G. Bekaert. 2007. “Stock Return Predictability: Is It There?” Review of Financial Studies 20 (3): 651–707. doi:10.1093/rfs/hhl021.
  • Campbell, J. Y., and S. B. Thompson. 2008. “Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?” Review of Financial Studies 21 (4): 1509–1531. doi:10.1093/rfs/hhm055.
  • Clark, T. E., and K. D. West. 2007. “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models.” Journal of Econometrics 138 (1): 291–311. doi:10.1016/j.jeconom.2006.05.023.
  • Fama, E. F., and G. W. Schwert. 1977. “Asset Returns and Inflation.” Journal of Financial Economics 5 (2): 115–146. doi:10.1016/0304-405X(77)90014-9.
  • Rapach, D. E., J. K. Strauss, and G. Zhou. 2010. “Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Econ- Omy.” Review of Financial Studies 23 (2): 821–862. doi:10.1093/rfs/hhp063.
  • Rapach, D. E., J. K. Strauss, and G. Zhou. 2013. “International Stock Return Predictability: What Is the Role of the United States?” The Journal of Finance 68 (4): 1633–1662. doi:10.1111/jofi.12041.
  • Welch, I., and A. Goyal. 2008. “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction.” Review of Financial Studies 21 (4): 1455–1508. doi:10.1093/rfs/hhm014.
  • Zhu, X. 2013. “Perpetual Learning and Stock Return Predictability.” Economics Letters 121 (1): 19–22. doi:10.1016/j.econlet.2013.06.035.

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