• Corpus ID: 238354223

A New Multivariate Predictive Model for Stock Returns

  title={A New Multivariate Predictive Model for Stock Returns},
  author={Jianying Xie},
  • Jianying Xie
  • Published 5 October 2021
  • Economics, Mathematics
One of the most important studies in finance is to find out whether stock returns could be predicted. This research aims to create a new multivariate model, which includes dividend yield, earnings-to-price ratio, book-to-market ratio as well as consumption-wealth ratio as explanatory variables, for future stock returns predictions. The new multivariate model will be assessed for its forecasting performance using empirical analysis. The empirical analysis is performed on S&P500 quarterly data… 


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