Predictability and volatility of stock returns
Marios Mavrides
(Business Department, Cyprus College, 6 Diogenes Street, Engoni, PP.O. Box 22006, 1516, Nicosia‐Cyprus)
989
Abstract
This article examines predictability of returns and volatily in three major stock markets, the U.S., U.K., and Japan, using the Vector Autoregrassive and the Autoregressive Conditional Heteroskedastic (ARCH) approaches. We find that in all three markets dividendprice ratios and/or dividend growth rates predict returns. Moreover, there is persistence in the variance of stock returns attribute to the innovations related to the same variables.
Keywords
Citation
Mavrides, M. (2003), "Predictability and volatility of stock returns", Managerial Finance, Vol. 29 No. 8, pp. 46-56. https://doi.org/10.1108/03074350310768427
Publisher
:MCB UP Ltd
Copyright © 2003, MCB UP Limited