ORCID Profile
0000-0002-5744-0192
Current Organisation
Linköping University
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Publisher: Informa UK Limited
Date: 02-03-2020
Publisher: Instytut Badan Gospodarczych / Institute of Economic Research
Date: 30-09-2023
DOI: 10.24136/OC.2023.026
Publisher: Wiley
Date: 08-07-2020
DOI: 10.1002/FOR.2712
Abstract: This paper explains cross‐market variations in the degree of return predictability using the extreme bounds analysis (EBA). The EBA addresses model uncertainty in identifying robust determinant(s) of cross‐sectional return predictability. Additionally, the paper develops two profitable trading strategies based on return predictability evidence. The result reveals that among the 13 determinants of the cross‐sectional variation of return predictability, only value of stock traded (a measure of liquidity) is found to have robust explanatory power by Leamer's (1985) EBA. However, Sala‐i‐Martin's (1997) EBA reports that value of stock traded, gross domestic product (GDP) per capita, level of information and communication technology (ICT) development, governance quality, and corruption perception are robust determinants. We further find that a strategy of buying (selling) aggregate market portfolios of the countries with the highest positive (negative) return predictability statistic in the past 24 months generates statistically significant positive returns in the subsequent 3 to 12 months. In the in idual country level, a trading rule of buying (selling) the respective country's aggregate market portfolio, when the return predictability statistic turns out positive (negative), outperforms the conventional buy‐and‐hold strategy for many countries.
Publisher: Springer Science and Business Media LLC
Date: 03-2017
Publisher: Elsevier BV
Date: 09-2021
Publisher: Elsevier BV
Date: 04-2019
Publisher: Elsevier BV
Date: 08-2020
Publisher: Elsevier BV
Date: 09-2021
Publisher: Elsevier BV
Date: 10-2014
Publisher: Elsevier BV
Date: 08-2019
Publisher: Elsevier BV
Date: 07-2016
Publisher: Elsevier BV
Date: 02-2020
Publisher: Elsevier BV
Date: 06-2015
No related grants have been discovered for Gazi Salah Uddin.