Title: Asset pricing and predictability of stock returns in the French market

Authors: Siwar Ellouz

Addresses: CEREG, University of Paris Dauphine, Place du Marechal De Lattre de Tassigny, 75775 Paris cedex 16, France; GOVERNANCE, ESC of Sfax, Route de l'Aerodrome Km.4, B.P. 1081 3018 Sfax, Tunisia

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 time and is important for capturing predictable variations of stock returns. We find also that the expected excess returns on small and medium capitalisation 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 capitalisation stocks.

Keywords: predictability; predetermined variables; conditional asset pricing; stock returns; France; stock markets; risk premium; dividend yields; default spread; term spread.

DOI: 10.1504/IJMFA.2011.041758

International Journal of Managerial and Financial Accounting, 2011 Vol.3 No.3, pp.279 - 303

Published online: 29 Nov 2014 *

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