Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316.2/36603
DC Field | Value | Language |
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dc.contributor.author | Silva, Nuno | - |
dc.date.accessioned | 2015-05-22T14:41:16Z | |
dc.date.accessioned | 2020-10-04T14:48:35Z | - |
dc.date.available | 2015-05-22T14:41:16Z | |
dc.date.available | 2020-10-04T14:48:35Z | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 2183-203X (digital) | - |
dc.identifier.issn | 0872-4733 | - |
dc.identifier.uri | https://hdl.handle.net/10316.2/36603 | - |
dc.description.abstract | Neste artigo testamos a existência de previsibilidade em onze países da Zona Euro, através de regressões com coeficientes constantes e variáveis. Os resultados obtidos revelam que existem indícios estatísticos de previsibilidade em alguns países. O valor económico dos modelos de previsão é muito maior do que poderia ser inferido, com base nos testes estatísticos. Um investidor, com função de utilidade do tipo média-variância, poderia ter obtido ganhos substanciais na maioria dos países considerados. No geral, os modelos com parâmetros variáveis apresentam um melhor desempenho do que os modelos com coeficientes constantes. | por |
dc.description.abstract | In this paper, we test the existence of predictability in eleven Eurozone stock markets, using both regressions with constant coefficients and with time-varying coefficients. Our results show that there is statistical evidence of predictability in some countries. The economic value of the forecasting models is much stronger than what could be inferred, based on the statistical tests. A meanvariance investor could have obtained substantial utility gains in most countries. Overall, models with time-varying parameters perform slightly better than models with constant coefficients. | eng |
dc.language.iso | eng | - |
dc.publisher | Imprensa da Universidade de Coimbra | - |
dc.title | Time-varying stock return predictability: the eurozone case | por |
dc.type | article | - |
uc.publication.collection | Notas económicas nº 41 | - |
uc.publication.firstPage | 28 | - |
uc.publication.issue | 41 | - |
uc.publication.lastPage | 38 | - |
uc.publication.location | Coimbra | - |
uc.publication.journalTitle | Notas económicas | - |
dc.identifier.doi | 10.14195/2183-203X_41_4 | - |
uc.publication.section | Artigos | - |
uc.publication.orderno | 3 | - |
uc.publication.area | Ciências Sociais | - |
uc.publication.manifest | https://dl.uc.pt/json/iiif/10316.2/36603/266643/manifest?manifest=/json/iiif/10316.2/36603/266643/manifest | - |
uc.publication.thumbnail | https://dl.uc.pt/retrieve/12116202 | - |
item.fulltext | With Fulltext | - |
item.grantfulltext | open | - |
Appears in Collections: | Notas Económicas |
Files in This Item:
File | Description | Size | Format | |
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time-varying_stock_return_predictability.pdf | 1.69 MB | Adobe PDF | ![]() |
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