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    Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information

    Access Status
    Fulltext not available
    Authors
    Lakshman, Alles
    Yao, J.
    Gao, J.
    Date
    2005
    Type
    Journal Article
    
    Metadata
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    Citation
    Lakshman, Alles and Yao, Juan and Gao, Jiti. 2005. Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information. Pacific Basin Finance Journal. 13 (2): pp. 225-245.
    Source Title
    Pacific Basin Finance Journal
    DOI
    10.1016/j.pacfin.2004.08.002
    ISSN
    0927538X
    Faculty
    Curtin Business School
    School of Economics and Finance
    Remarks

    The link to the journal’s home page is: http://www.elsevier.com/wps/find/journaldescription.cws_home/523619/description#description

    Copyright © 2005 Elsevier Ltd. All rights reserved

    URI
    http://hdl.handle.net/20.500.11937/12661
    Collection
    • Curtin Research Publications
    Abstract

    This paper employs Bayesian dynamic linear forecasting techniques to investigate the factors driving the predictability of Australian stock market. The unanticipated components of a set of economic and financial variables are chosen as the proxies for the economic risk factors that influence the industrial stock returns. The prior information is incorporated with the predictor variables and updated at each month during the sample period. The final test result reveals that the unanticipated components of term structure and short-term interest rate are the most significant variables to be priced in industry returns. The aggregate dividend-yield variable has influence on some of the industries. The industrial return's predictability is well explained by the time-varying risk premium of economic factors. The comparison between multivariate analysis and univariate analysis strongly indicates that the correlations within the industries are critical in the investigation of the predictability of returns.

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