Aggregate earnings and expected stock returns in emerging markets

K. Ozgur Demirtas, Duygu Zirek

Research output: Contribution to journalArticlepeer-review

13 Scopus citations


This paper examines the time-series predictability of aggregate stock returns in twenty emerging markets. In contrast to the aggregate-level findings in the United States, earnings yield forecasts the time series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing variables for stock price but as predictive variables in their own right. Aggregate earnings covary with the market returns; hence, it is not just the mean reversion of stock prices that is responsible for the forecasting power of earnings yield. These results are robust across different estimation methods and after controlling for small-sample bias and macroeconomic variables.

Original languageEnglish
Pages (from-to)4-22
Number of pages19
JournalEmerging Markets Finance and Trade
Issue number3
StatePublished - 2011


  • business cycle
  • earnings
  • emerging markets
  • market returns
  • predictability


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