Is Indonesia's stock market different when it comes to predictability?
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...
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Main Authors: | Susan Sunila Sharma, -, Paresh Kumar Narayan, -, KannanThuraisamy, -, Nisful Laila, - |
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Format: | Article PeerReviewed |
Language: | English Indonesian English |
Published: |
Elsevier
2019
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Subjects: | |
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 |
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Institution: | Universitas Airlangga |
Language: | English Indonesian English |
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