Zeng HMarshall BRNguyen NHVisaltanachoti N2024-05-172024-05-172022-02Zeng H, Marshall BR, Nguyen NH, Visaltanachoti N. (2022). Are individual stock returns predictable?. Australian Journal of Management. 47. 1. (pp. 135-162).0312-8962https://mro.massey.ac.nz/handle/10179/69588We 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.Business cyclecross-sectional predictabilityfirm-level predictabilitylimits to arbitragemacroeconomic and technical predictorsprincipal component analysisJournal article10.1177/031289622110015091327-2020journal-article135-162http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000638959900001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=c5bb3b2499afac691c2e3c1a83ef6fefARTN 03128962211001509