The predictive value of inequality measures for stock returns : an analysis of long-span UK data using quantile random forests
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Date
Authors
Gupta, Rangan
Pierdzioch, Christian
Vivian, Andrew J.
Wohar, Mark E.
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
We contribute to research on the predictability of stock returns in two ways. First, we use quantile random forests to study the predictive value of various consumption-based and income-based inequality measures across the quantiles of the conditional distribution of stock returns. Second, we examine whether the inequality measures, measured at a quarterly frequency, have out-of-sample predictive value for stock returns at three different forecast horizons. Our results suggest that the inequality measures have predictive value for stock returns in sample, but do not systematically predict stock returns out of sample.
Description
Keywords
Stock returns, Predictability, Inequality measures, Quantile random forests
Sustainable Development Goals
Citation
Gupta, R., Pierdzioch, C., Vivian, A.J. et al. 2018, 'The predictive value of inequality measures for stock returns : an analysis of long-span UK data using quantile random forests', Finance Research Letters, NYP.