Is Indonesia's stock market different when it comes to predictability?

• Main Authors: Susan Sunila Sharma, -, Paresh Kumar Narayan, -, KannanThuraisamy, -, Nisful Laila, -
• Format: Article PeerReviewed
• Language: English; Indonesian; English
• Published: Elsevier 2019
• Subjects: H Social Sciences; HG1-9999 Finance; HG4551-4598 Stock exchanges
• Online Access: http://repository.unair.ac.id/96488/6/NisfulLaila_Karil05.pdf; http://repository.unair.ac.id/96488/2/Nisful%20Laila_Peer%20Review%20005.pdf; http://repository.unair.ac.id/96488/7/NisfulLaila_Similarity05.pdf; http://repository.unair.ac.id/96488/; https://www.sciencedirect.com/science/article/pii/S156601411930113X; https://doi.org/10.1016/j.ememar.2019.100623
• Institution: Universitas Airlangga

We construct a unique dataset consisting of 342 firms aimed at stock return predictability. Using seven predictors, we show that unlike in conventional markets, it is capital expenditure that is the most successful predictor of returns. However, the overall evidence of out-of-sample predictability w...