- Title
- Out-of-sample stock return predictability in emerging markets
- Creator
- Bahrami, Afsaneh; Shamsuddin, Abul; Uylangco, Katherine
- Relation
- Accounting and Finance Vol. 58, Issue 3, p. 727-750
- Publisher Link
- http://dx.doi.org/10.1111/acfi.12234
- Publisher
- Wiley-Blackwell
- Resource Type
- journal article
- Date
- 2018
- Description
- 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.
- Subject
- return predictability; forecast combination; advanced emerging markets
- Identifier
- http://hdl.handle.net/1959.13/1409298
- Identifier
- uon:35988
- Identifier
- ISSN:0810-5391
- Language
- eng
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