Munich Personal RePEc Archive

Asset pricing and predictability of stock returns in the french market

Ellouz, Siwar and Bellalah, Mondher (2007): Asset pricing and predictability of stock returns in the french market.

[img]
Preview
PDF
MPRA_paper_4961.pdf

Download (201Kb) | Preview

Abstract

This paper studies the predictability of returns in the French stock market. It provides an analysis of predictable components of monthly common stock returns. We study a single-beta conditional model and we show that stock market risk premium is variable over the time and is important for capturing predictable variations of stock returns. We find also that the expected excess returns on small and medium capitalization stocks are more sensitive to changes in the predetermined variables such as dividend yields, default spread and term spread, than expected excess returns on large capitalization stocks.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.