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Predictability of Stock Returns: Robustness and Economic Significance

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Cited by:

  1. Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008. "Forecasting stock market volatility with macroeconomic variables in real time," Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
  2. Driffill, John & Sola, Martin & Kenc, Turalay & Spagnolo, Fabio, 2004. "On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts," CEPR Discussion Papers 4165, C.E.P.R. Discussion Papers.
  3. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  4. Panagiotis Schizas & Dimitrios D. Thomakos, 2015. "Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 285-298, February.
  5. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
  6. Coe, P. & Pesaran, M.H. & Vahey, S.P., 2000. "The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach," Cambridge Working Papers in Economics 0005, Faculty of Economics, University of Cambridge.
  7. Lucio Sarno & Giorgio Valente, 2009. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 786-830, June.
  8. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers D/821, IESE Business School.
  9. Gonzalo Paz-Pardo, 2024. "Homeownership and Portfolio Choice over the Generations," American Economic Journal: Macroeconomics, American Economic Association, vol. 16(1), pages 207-237, January.
  10. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  11. Tarek Zaher, 2017. "The Value of Active Investment Strategies," NFI Working Papers 2017-WP-02, Indiana State University, Scott College of Business, Networks Financial Institute.
  12. Massimiliano Kaucic, 2009. "Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 173-193, September.
  13. Hui Guo, 2006. "On the Out-of-Sample Predictability of Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 79(2), pages 645-670, March.
  14. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2011. "Asymmetric loss functions and the rationality of expected stock returns," International Journal of Forecasting, Elsevier, vol. 27(2), pages 413-437.
  15. Rogér Otten & Dennis Bams, 2007. "The Performance of Local versus Foreign Mutual Fund Managers," European Financial Management, European Financial Management Association, vol. 13(4), pages 702-720, September.
  16. Rossi, Barbara & Odendahl, Florens & Sekhposyan, Tatevik, 2020. "Comparing Forecast Performance with State Dependence," CEPR Discussion Papers 15217, C.E.P.R. Discussion Papers.
  17. Vivian, Andrew & Wohar, Mark E., 2013. "The output gap and stock returns: Do cyclical fluctuations predict portfolio returns?," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 40-50.
  18. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
  19. Pesaran, M. Hashem & Timmermann, Allan, 2002. "Market timing and return prediction under model instability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 495-510, December.
  20. Maciel, Leandro, 2021. "A new approach to portfolio management in the Brazilian equity market: Does assets efficiency level improve performance?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 38-56.
  21. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  22. M. Hashem Pesaran & Paolo Zaffaroni, 2004. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management," CESifo Working Paper Series 1358, CESifo.
  23. Bekiros, Stelios D., 2013. "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
  24. Clark, Todd E. & McCracken, Michael W., 2015. "Nested forecast model comparisons: A new approach to testing equal accuracy," Journal of Econometrics, Elsevier, vol. 186(1), pages 160-177.
  25. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381, September.
  26. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
  27. Leite, Paulo & Cortez, Maria Céu, 2014. "Style and performance of international socially responsible funds in Europe," Research in International Business and Finance, Elsevier, vol. 30(C), pages 248-267.
  28. Evangelos Karanikas & George Leledakis & Elias Tzavalis, 2006. "Structural Changes in Expected Stock Returns Relationships: Evidence from ASE," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1610-1628, November.
  29. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
  30. Asai, M. & Caporin, M., 2009. "Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2009-51, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  31. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
  32. Wei, Steven X. & Zhang, Chu, 2003. "Statistical and economic significance of stock return predictability: a mean-variance analysis," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 443-463, December.
  33. Alizadeh, Amir H. & Nomikos, Nikos K., 2007. "Investment timing and trading strategies in the sale and purchase market for ships," Transportation Research Part B: Methodological, Elsevier, vol. 41(1), pages 126-143, January.
  34. Cujean, Julien & Andrei, Daniel & Fournier, Mathieu, 2019. "The Low-Minus-High Portfolio and the Factor Zoo," CEPR Discussion Papers 14153, C.E.P.R. Discussion Papers.
  35. Truong Ngoc Cuong & Le Ngoc Bao Long & Hwan-Seong Kim & Sam-Sang You, 2023. "Data analytics and throughput forecasting in port management systems against disruptions: a case study of Busan Port," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 25(1), pages 61-89, March.
  36. Favero Carlo A. & Milani Fabio, 2005. "Parameter Instability, Model Uncertainty and the Choice of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 5(1), pages 1-33, February.
  37. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
  38. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," FRB Atlanta Working Paper 2003-6, Federal Reserve Bank of Atlanta.
  39. Yao, Juan & Gao, Jiti & Alles, Lakshman, 2005. "Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 225-245, March.
  40. Odendahl, Florens & Rossi, Barbara & Sekhposyan, Tatevik, 2023. "Evaluating forecast performance with state dependence," Journal of Econometrics, Elsevier, vol. 237(2).
  41. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
  42. Groenewold, Nicolaas & Kan Tang, Sam Hak & Wu, Yanrui, 2008. "The profitability of regression-based trading rules for the Shanghai stock market," International Review of Financial Analysis, Elsevier, vol. 17(2), pages 411-430.
  43. Nicolas S. Magner & Nicolás Hardy & Tiago Ferreira & Jaime F. Lavin, 2023. "“Agree to Disagree”: Forecasting Stock Market Implied Volatility Using Financial Report Tone Disagreement Analysis," Mathematics, MDPI, vol. 11(7), pages 1-16, March.
  44. Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004. "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 12(5), pages 503-523, November.
  45. David Newton, 2019. "Are All Forecasts Made Equal? Conditioning Models on Fit to Improve Accuracy," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-32, September.
  46. Hadhri, Sinda, 2021. "The nexus, downside risk and asset allocation between oil and Islamic stock markets: A cross-country analysis," Energy Economics, Elsevier, vol. 101(C).
  47. Guidolin, Massimo & Ono, Sadayuki, 2006. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 480-518.
  48. Sulaiman, Nadzri & Masih, Mansur, 2017. "Macroeconomic variables and stock markets (domestic and foreign): evidence from Malaysia," MPRA Paper 110154, University Library of Munich, Germany.
  49. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  50. Jan R. Magnus & Dmitry Danilov, 2004. "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 251-274.
  51. Gupta, Rangan & Hammoudeh, Shawkat & Modise, Mampho P. & Nguyen, Duc Khuong, 2014. "Can economic uncertainty, financial stress and consumer sentiments predict U.S. equity premium?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 367-378.
  52. Jia Miao, 2007. "Volatility filter for index tracking and long–short market-neutral strategies," Journal of Asset Management, Palgrave Macmillan, vol. 8(2), pages 101-111, July.
  53. Costas M. Stephanou & Gawie S. du Toit & Marius J. Maritz, 2003. "The Release of Nelson Mandela: Effect on the Johannesburg Securities Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 153-175, September.
  54. Castro, Andressa Monteiro de & Issler, João Victor, 2016. "Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
  55. Clark, Todd E. & McCracken, Michael W., 2012. "In-sample tests of predictive ability: A new approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 1-14.
  56. Karolyi, G. Andrew & Kho, Bong-Chan, 2004. "Momentum strategies: some bootstrap tests," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 509-536, September.
  57. Subrata Roy, 2016. "Another Look in Conditioning Alphas on Economic Information: Indian Evidence," Global Business Review, International Management Institute, vol. 17(1), pages 191-213, February.
  58. Pesaran, M.H., 2010. "Predictability of Asset Returns and the Efficient Market Hypothesis," Cambridge Working Papers in Economics 1033, Faculty of Economics, University of Cambridge.
  59. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
  60. Awijen, Haithem & Ben Zaied, Younes & Ben Lahouel, Béchir & Khlifi, Foued, 2023. "Machine learning for US cross-industry return predictability under information uncertainty," Research in International Business and Finance, Elsevier, vol. 64(C).
  61. Jianying Xie, 2021. "A New Multivariate Predictive Model for Stock Returns," Papers 2110.01873, arXiv.org.
  62. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City.
  63. João M. Sousa & Ricardo M. Sousa, 2019. "Asset Returns Under Model Uncertainty: Evidence from the Euro Area, the US and the UK," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 139-176, June.
  64. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
  65. Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
  66. Andrew Detzel & Jack Strauss, 2018. "Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios [Illiquidity and stock returns: cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 22(5), pages 1949-1973.
  67. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
  68. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2014. "The international business cycle and gold-price fluctuations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 292-305.
  69. Ippei Fujiwara & Maiko Koga, 2002. "A Statistical Forecasting Method for Inflation Forecasting," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.
  70. Chauvet, Marcelle & Potter, Simon, 2001. "Nonlinear Risk," Macroeconomic Dynamics, Cambridge University Press, vol. 5(4), pages 621-646, September.
  71. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  72. O. S. Rozanova & G. S. Kambarbaeva, 2015. "Optimal strategies of investment in a linear stochastic model of market," Papers 1501.07124, arXiv.org.
  73. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, vol. 58(4), pages 1393-1413, August.
  74. Nahzat Abbas & Jahanzeb Khan & Rabia Aziz & Zain Sumrani, 2015. "A Study to Check the Applicability of Fama and French, Three-Factor Model on KSE 100-Index from 2004-2014," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 90-100, January.
  75. Jeffrey Jarrett & Eric Kyper, 2006. "Capital market efficiency and the predictability of daily returns," Applied Economics, Taylor & Francis Journals, vol. 38(6), pages 631-636.
  76. Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
  77. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
  78. Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
  79. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
  80. Haase, Felix & Neuenkirch, Matthias, 2023. "Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US," International Journal of Forecasting, Elsevier, vol. 39(2), pages 587-605.
  81. De Nard, Gianluca & Engle, Robert F. & Ledoit, Olivier & Wolf, Michael, 2022. "Large dynamic covariance matrices: Enhancements based on intraday data," Journal of Banking & Finance, Elsevier, vol. 138(C).
  82. Krkoska, Libor & Teksoz, Utku, 2009. "How reliable are forecasts of GDP growth and inflation for countries with limited coverage?," Economic Systems, Elsevier, vol. 33(4), pages 376-388, December.
  83. Cem Cakmakli & Verda Ozturk, 2021. "Economic Value of Modeling the Joint Distribution of Returns and Volatility: Leverage Timing," Koç University-TUSIAD Economic Research Forum Working Papers 2110, Koc University-TUSIAD Economic Research Forum.
  84. Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
  85. Flavio Barboza & Geraldo Nunes Silva & José Augusto Fiorucci, 2023. "A review of artificial intelligence quality in forecasting asset prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1708-1728, November.
  86. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005. "Leading Indicators for Euro‐area Inflation and GDP Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 785-813, December.
  87. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," The Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-428.
  88. John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
  89. Erik Devos & Andrew Spieler & Desmond Tsang, 2014. "Elective Stock Dividends and REITs: Evidence from the Financial Crisis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(1), pages 33-70, March.
  90. Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
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  92. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
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  94. T.J. Flavin & M.R. Wickens, 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, John Wiley & Sons, vol. 12(2), pages 207-231.
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  96. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  97. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578.
  98. Gonzalo, Jesús & Pitarakis, Jean-Yves, 2024. "Out-of-sample predictability in predictive regressions with many predictor candidates," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1166-1178.
  99. Sousa, João & Sousa, Ricardo M., 2017. "Predicting risk premium under changes in the conditional distribution of stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 204-218.
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  111. Bozos, Konstantinos & Nikolopoulos, Konstantinos, 2011. "Forecasting the value effect of seasoned equity offering announcements," European Journal of Operational Research, Elsevier, vol. 214(2), pages 418-427, October.
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  123. Medel, Carlos & Camilleri, Gilmour & Hsu, Hsiang-Ling & Kania, Stefan & Touloumtzoglou, Miltiadis, 2015. "Robustness in Foreign Exchange Rate Forecasting Models: Economics-based Modelling After the Financial Crisis," MPRA Paper 65290, University Library of Munich, Germany.
  124. Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
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  126. Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399.
  127. Neil Kellard & Denise Osborn & Jerry Coakley & Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2015. "Structural Break Inference Using Information Criteria in Models Estimated by Two-Stage Least Squares," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 741-762, September.
  128. Moreno, David & Olmeda, Ignacio, 2007. "Is the predictability of emerging and developed stock markets really exploitable?," European Journal of Operational Research, Elsevier, vol. 182(1), pages 436-454, October.
  129. Georgi Nalbantov & Rob Bauer & Ida Sprinkhuizen-Kuyper, 2006. "Equity style timing using support vector regressions," Applied Financial Economics, Taylor & Francis Journals, vol. 16(15), pages 1095-1111.
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