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Time-Varying Stock Return Predictability: The Eurozone Case

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  • Nuno Silva

    (Faculty of Economics, Unoiversity of Coimbra and GEMF, Portugal.)

Abstract

In this paper, we test the existence of predictability in eleven Eurozone stock markets, using both regressions with constant coefficients and with time-varying coefficients. Our results show that there is statistical evidence of predictability in some countries. The economic value of the forecasting models is much stronger than what could be inferred, based on the statistical tests. A meanvariance investor could have obtained substantial utility gains in most countries. Overall, models with time-varying parameters perform slightly better than models with constant coefficients.

Suggested Citation

  • Nuno Silva, 2015. "Time-Varying Stock Return Predictability: The Eurozone Case," Notas Económicas, Faculty of Economics, University of Coimbra, issue 41, pages 28-38, June.
    • Handle: RePEc:gmf:journl:y:2015:i:41:p:28-38
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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