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STORRE: Stirling Online Research Repository
http://hdl.handle.net/1893/25143| Appears in Collections: | Accounting and Finance Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Time varying stock return predictability: Evidence from US sectors |
| Author(s): | Guidolin, Massimo McMillan, David Wohar, Mark E |
| Contact Email: | david.mcmillan@stir.ac.uk |
| Keywords: | Predictability Time-varying risk premia Dividend yield Rolling regressions |
| Issue Date: | Mar-2013 |
| Date Deposited: | 13-Mar-2017 |
| Citation: | Guidolin M, McMillan D & Wohar ME (2013) Time varying stock return predictability: Evidence from US sectors. Finance Research Letters, 10 (1), pp. 34-40. https://doi.org/10.1016/j.frl.2012.07.002 |
| Abstract: | This paper argues that dividend yield stock return predictability is time-varying. We conjecture that such time-variation is linked to the business cycle. Employing monthly data for US sector portfolios we estimate 5-year rolling fixed window predictive regressions. The resulting series of time-varying predictive coefficients is regressed on industrial production growth and a recession dummy. Our results support the view of a negative relationship between predictability and output growth. That is the strength of the predictive relationship between returns and the dividend yield is stronger during contractionary periods, while during expansions the magnitude of the relationship declines. |
| DOI Link: | 10.1016/j.frl.2012.07.002 |
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