Time-varying stock return predictability: the Eurozone case
In this paper, we test the existence of predictability in eleven Eurozone stock markets, using both regressions with constant coefficients and with time-varying coefficients. Our results show that there is statistical evidence of predictability in some countries. The economic value of the forecasti...
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| Format: | Article |
| Language: | English |
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Coimbra University Press
2015-06-01
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| Series: | Notas Económicas |
| Online Access: | https://impactum-journals.uc.pt/notaseconomicas/article/view/3100 |