Are individual stock returns predictable?

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dc.citation.issue1
dc.citation.volume47
dc.contributor.authorZeng H
dc.contributor.authorMarshall BR
dc.contributor.authorNguyen NH
dc.contributor.authorVisaltanachoti N
dc.date.accessioned2024-05-17T02:48:48Z
dc.date.available2024-05-17T02:48:48Z
dc.date.issued2022-02
dc.description.abstractWe show that the previously documented predictability of macroeconomic and technical variables for market returns is also evident in individual stock returns. Technical variables generate better predictability on firms with high limits to arbitrage (small, illiquid, volatile firms), while macroeconomic variables better predict firms with low limits to arbitrage. Technical predictors show a stronger predictive power for high limits to arbitrage firms across the business cycle, whereas macroeconomic variables capture more predictive information for firms with low limits to arbitrage during recessions.
dc.description.confidentialfalse
dc.edition.editionFebruary 2022
dc.format.pagination135-162
dc.identifier.author-urlhttp://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000638959900001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=c5bb3b2499afac691c2e3c1a83ef6fef
dc.identifier.citationZeng H, Marshall BR, Nguyen NH, Visaltanachoti N. (2022). Are individual stock returns predictable?. Australian Journal of Management. 47. 1. (pp. 135-162).
dc.identifier.doi10.1177/03128962211001509
dc.identifier.eissn1327-2020
dc.identifier.elements-typejournal-article
dc.identifier.issn0312-8962
dc.identifier.numberARTN 03128962211001509
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/69588
dc.languageEnglish
dc.publisherSAGE Publications on behalf of the University of New South Wales
dc.publisher.urihttps://journals.sagepub.com/doi/10.1177/03128962211001509
dc.relation.isPartOfAustralian Journal of Management
dc.subjectBusiness cycle
dc.subjectcross-sectional predictability
dc.subjectfirm-level predictability
dc.subjectlimits to arbitrage
dc.subjectmacroeconomic and technical predictors
dc.subjectprincipal component analysis
dc.titleAre individual stock returns predictable?
dc.typeJournal article
pubs.elements-id444893
pubs.organisational-groupOther
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