Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2011
We examine both in-sample and out-of-sample predictability of South African stock return using macroeconomic variables. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990:01 and 1996:12, and the out-of sample period commencing...
