Predicting stock returns: some European evidence

被引：0
|
作者：
Peiro, Amado [1 ]
机构：
[1] Univ Valencia, Dept Anal Econ, Av Tarongers S-N, Valencia 46022, Spain
来源：
APPLIED ECONOMICS | 2022年 / 54卷 / 57期
关键词：
Efficient markets; European stock markets; forecasting; return predictability; sector indices; INDUSTRY RETURNS; MARKET; PRICES;
D O I：
10.1080/00036846.2022.2073330
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper examines the predictability of stock returns for different European sectors. Using monthly returns from 14 industries for the period 1988-2019, it is found that past movements in some industries do help to forecast future movements in other industries. Nevertheless, results also show that this relationship emerges in the years between 1999-2009, but disappears afterwards.
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页码：6596 / 6604
页数：9
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