The sum-of-the-parts method: An international application
| Autor(a) principal: | |
|---|---|
| Data de Publicação: | 2009 |
| Tipo de documento: | Dissertação |
| Idioma: | eng |
| Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
| Texto Completo: | http://hdl.handle.net/10362/9445 |
Resumo: | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
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The sum-of-the-parts method: An international applicationA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsForecasting stock market returns has a long tradition in the academic literature, but most of the research focuses on the US stock market. In this study, I propose extending the sum-of-the-parts method (Ferreira and Santa-Clara (2008)) to four of the major international stock markets - Canada, France, Japan, and the UK - using variables that have been suggested as stock return predictors for the US. I find evidence that stock market return predictability varies substantially across countries. When compared to the US market, out-of-sample predictability is strong in Japan and the UK. Overall, the results of this study suggest that the sum-of-the-parts method is robust across countries as it always improves the forecasting performance on the traditional predictive regression model.NSBE - UNLSanta-Clara, PedroRUNAlmeida, Ana Carolina Marques de2013-05-06T10:34:55Z2009-012009-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/9445enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-10T15:28:46ZPortal AgregadorONG |
| dc.title.none.fl_str_mv |
The sum-of-the-parts method: An international application |
| title |
The sum-of-the-parts method: An international application |
| spellingShingle |
The sum-of-the-parts method: An international application Almeida, Ana Carolina Marques de |
| title_short |
The sum-of-the-parts method: An international application |
| title_full |
The sum-of-the-parts method: An international application |
| title_fullStr |
The sum-of-the-parts method: An international application |
| title_full_unstemmed |
The sum-of-the-parts method: An international application |
| title_sort |
The sum-of-the-parts method: An international application |
| author |
Almeida, Ana Carolina Marques de |
| author_facet |
Almeida, Ana Carolina Marques de |
| author_role |
author |
| dc.contributor.none.fl_str_mv |
Santa-Clara, Pedro RUN |
| dc.contributor.author.fl_str_mv |
Almeida, Ana Carolina Marques de |
| description |
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics |
| publishDate |
2009 |
| dc.date.none.fl_str_mv |
2009-01 2009-01-01T00:00:00Z 2013-05-06T10:34:55Z |
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info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/masterThesis |
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masterThesis |
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publishedVersion |
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http://hdl.handle.net/10362/9445 |
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http://hdl.handle.net/10362/9445 |
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eng |
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eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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NSBE - UNL |
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NSBE - UNL |
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