Συλλογές
Τίτλος Stock return predictability
Δημιουργός Tsioutsioumis, Eleftherios
Συντελεστής Athens University of Economics and Business, Department of Statistics
Vrontos, Ioannis
Τύπος Text
Φυσική περιγραφή 100 σ.
Γλώσσα en
Περίληψη The issue of predicting equity returns is one of the most widely discussed topics infinancial economics. Yet no consensus exists on the fundamental questions: whetherpredictability exists and which variables show best predictive performance. Workingin a time series framework we employ the data used by Goyal and Welch (2008). Wefirst purpose to identify the variables which show significant predictive ability relyingon a variety of suitable econometric models. Secondly, based on the best in sampleperformers, we propose a range of stationary models aiming to forecast equitypremium returns and we attempt to evaluate their out-of-sample performance byutilizing time series cross-validation with a rolling origin.
Λέξη κλειδί Present value models
Stock returns
Bayesian model
Linear model
Ημερομηνία έκδοσης 22-06-2017
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/