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Out‐of‐sample stock return predictability in emerging markets

Out‐of‐sample stock return predictability in emerging markets This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the in‐sample and out‐of‐sample stock return predictability of ten advanced emerging markets. It compares forecasts from models with a single predictor variable, multiple predictor variables and a combination forecast approach. The results confirm the findings of Welch and Goyal (2008) for US data that only a limited number of individual predictor variables are able to deliver significant out‐of‐sample forecasts. However, a combination forecast approach provides statistically and economically significant out‐of‐sample forecast results. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

Out‐of‐sample stock return predictability in emerging markets

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References (53)

Publisher
Wiley
Copyright
Accounting and Finance © 2018 AFAANZ
ISSN
0810-5391
eISSN
1467-629X
DOI
10.1111/acfi.12234
Publisher site
See Article on Publisher Site

Abstract

This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the in‐sample and out‐of‐sample stock return predictability of ten advanced emerging markets. It compares forecasts from models with a single predictor variable, multiple predictor variables and a combination forecast approach. The results confirm the findings of Welch and Goyal (2008) for US data that only a limited number of individual predictor variables are able to deliver significant out‐of‐sample forecasts. However, a combination forecast approach provides statistically and economically significant out‐of‐sample forecast results.

Journal

Accounting & FinanceWiley

Published: Jan 1, 2018

Keywords: ; ;

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