Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information
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 ind...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2005
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| Online Access: | http://hdl.handle.net/20.500.11937/12661 |
| _version_ | 1848748138754473984 |
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| author | Lakshman, Alles Yao, J. Gao, J. |
| author_facet | Lakshman, Alles Yao, J. Gao, J. |
| author_sort | Lakshman, Alles |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:00:17Z |
| format | Journal Article |
| id | curtin-20.500.11937-12661 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:00:17Z |
| publishDate | 2005 |
| publisher | Elsevier BV |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-126612017-09-13T16:06:24Z Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information Lakshman, Alles Yao, J. Gao, J. 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. 2005 Journal Article http://hdl.handle.net/20.500.11937/12661 10.1016/j.pacfin.2004.08.002 Elsevier BV restricted |
| spellingShingle | Lakshman, Alles Yao, J. Gao, J. Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information |
| title | Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information |
| title_full | Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information |
| title_fullStr | Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information |
| title_full_unstemmed | Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information |
| title_short | Dynamic investigation into the predictability of Australian industrial stock returns: using financial and economic information |
| title_sort | dynamic investigation into the predictability of australian industrial stock returns: using financial and economic information |
| url | http://hdl.handle.net/20.500.11937/12661 |