Understanding time-varying short-horizon predictability<sup>✰</sup>

Hammami, Y; Zhu, J

Understanding time-varying short-horizon predictability<sup>✰</sup>

Hammami, Y Zhu, J

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Publisher:: ACADEMIC PRESS INC ELSEVIER SCIENCE
Publication Type:: Journal Article
Citation:: Finance Research Letters, 2020, 32
Issue Date:: 2020-01-01

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Field	Value	Language
dc.contributor.author	Hammami, Y
dc.contributor.author	Zhu, J
dc.date.accessioned	2021-06-20T23:30:18Z
dc.date.available	2021-06-20T23:30:18Z
dc.date.issued	2020-01-01
dc.identifier.citation	Finance Research Letters, 2020, 32
dc.identifier.issn	1544-6123
dc.identifier.issn	1544-6131
dc.identifier.uri	http://hdl.handle.net/10453/149658
dc.description.abstract	Time-varying return predictability should stem either from time-varying dividend growth predictability or from time-varying dividend yield autocorrelation. The decomposition results show that the bulk of the variation in return predictability is due to its negative correlation with time-varying dividend yield autocorrelation, which is in turn positively correlated with investor sentiment. Using a linear regression based on these results, we confirm a significantly negative relation between investor sentiment and stock return predictability, after controlling for macroeconomic factors, dividend growth, and structural breaks. These findings suggest that investor sentiment is an important determinant of time-varying short-horizon predictability.
dc.language	English
dc.publisher	ACADEMIC PRESS INC ELSEVIER SCIENCE
dc.relation.ispartof	Finance Research Letters
dc.relation.isbasedon	10.1016/j.frl.2019.01.009
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	Understanding time-varying short-horizon predictability<sup>✰</sup>
dc.type	Journal Article
utslib.citation.volume	32
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access	*
dc.date.updated	2021-06-20T23:30:17Z
pubs.publication-status	Published
pubs.volume	32

Abstract:

Time-varying return predictability should stem either from time-varying dividend growth predictability or from time-varying dividend yield autocorrelation. The decomposition results show that the bulk of the variation in return predictability is due to its negative correlation with time-varying dividend yield autocorrelation, which is in turn positively correlated with investor sentiment. Using a linear regression based on these results, we confirm a significantly negative relation between investor sentiment and stock return predictability, after controlling for macroeconomic factors, dividend growth, and structural breaks. These findings suggest that investor sentiment is an important determinant of time-varying short-horizon predictability.

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http://hdl.handle.net/10453/149658