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dc.contributor.authorLakshman, Alles
dc.contributor.authorYao, J.
dc.contributor.authorGao, J.
dc.date.accessioned2017-01-30T11:32:05Z
dc.date.available2017-01-30T11:32:05Z
dc.date.created2009-03-05T00:54:41Z
dc.date.issued2005
dc.identifier.citationLakshman, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/12661
dc.identifier.doi10.1016/j.pacfin.2004.08.002
dc.description.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.

dc.publisherElsevier BV
dc.titleDynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information
dc.typeJournal Article
dcterms.source.volume13
dcterms.source.number2
dcterms.source.startPage225
dcterms.source.endPage245
dcterms.source.issn0927538X
dcterms.source.titlePacific Basin Finance Journal
curtin.note

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

curtin.note

Copyright © 2005 Elsevier Ltd. All rights reserved

curtin.accessStatusFulltext not available
curtin.facultyCurtin Business School
curtin.facultySchool of Economics and Finance


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