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Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/25143
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dc.contributor.authorGuidolin, Massimoen_UK
dc.contributor.authorMcMillan, Daviden_UK
dc.contributor.authorWohar, Mark Een_UK
dc.date.accessioned2017-03-13T22:32:07Z-
dc.date.available2017-03-13T22:32:07Zen_UK
dc.date.issued2013-03en_UK
dc.identifier.urihttp://hdl.handle.net/1893/25143-
dc.description.abstractThis 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.en_UK
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.relationGuidolin 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.2012.07.002en_UK
dc.rightsThe publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.en_UK
dc.rights.urihttp://www.rioxx.net/licenses/under-embargo-all-rights-reserveden_UK
dc.subjectPredictabilityen_UK
dc.subjectTime-varying risk premiaen_UK
dc.subjectDividend yielden_UK
dc.subjectRolling regressionsen_UK
dc.titleTime varying stock return predictability: Evidence from US sectorsen_UK
dc.typeJournal Articleen_UK
dc.rights.embargodate2999-12-09en_UK
dc.rights.embargoreason[1-s2.0-S1544612312000311-main.pdf] The publisher does not allow this work to be made publicly available in this Repository therefore there is an embargo on the full text of the work.en_UK
dc.identifier.doi10.1016/j.frl.2012.07.002en_UK
dc.citation.jtitleFinance Research Lettersen_UK
dc.citation.issn1544-6123en_UK
dc.citation.volume10en_UK
dc.citation.issue1en_UK
dc.citation.spage34en_UK
dc.citation.epage40en_UK
dc.citation.publicationstatusPublisheden_UK
dc.citation.peerreviewedRefereeden_UK
dc.type.statusVoR - Version of Recorden_UK
dc.author.emaildavid.mcmillan@stir.ac.uken_UK
dc.citation.date08/08/2012en_UK
dc.contributor.affiliationManchester Business Schoolen_UK
dc.contributor.affiliationAccounting & Financeen_UK
dc.contributor.affiliationUniversity of Nebraska at Omahaen_UK
dc.identifier.isiWOS:000315537900005en_UK
dc.identifier.scopusid2-s2.0-84875805194en_UK
dc.identifier.wtid539643en_UK
dc.contributor.orcid0000-0002-5891-4193en_UK
dc.date.accepted2012-07-30en_UK
dcterms.dateAccepted2012-07-30en_UK
dc.date.filedepositdate2017-03-13en_UK
rioxxterms.typeJournal Article/Reviewen_UK
rioxxterms.versionVoRen_UK
local.rioxx.authorGuidolin, Massimo|en_UK
local.rioxx.authorMcMillan, David|0000-0002-5891-4193en_UK
local.rioxx.authorWohar, Mark E|en_UK
local.rioxx.projectInternal Project|University of Stirling|https://isni.org/isni/0000000122484331en_UK
local.rioxx.freetoreaddate2999-12-09en_UK
local.rioxx.licencehttp://www.rioxx.net/licenses/under-embargo-all-rights-reserved||en_UK
local.rioxx.filename1-s2.0-S1544612312000311-main.pdfen_UK
local.rioxx.filecount1en_UK
local.rioxx.source1544-6123en_UK
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