On the Out‐of‐Sample Predictability of Stock Market Returns*

Entropy and Predictability of Stock Market Returns¤

We examine the predictability of stock market returns by employing a new metric entropy measure of dependence with several desirable properties. We compare our results with a number of traditional measures. The metric entropy is capable of detecting nonlinear dependence within the returns series, and is also capable of detecting nonlinear\a±nity" between the returns and their predictions obtain...

Essays on Predictability of Stock Returns

This thesis consists of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and expected dividends are unobservable, I use the Kalman filter technique to extract them from the observed...

Louis On the Out - of - Sample Predictability of Stock Market Returns

There is an ongoing debate about stock return predictability in time-series data. Campbell (1987) and Fama and French (1989), among many others, find that macro variables such as the dividend yield, the default premium, the term premium, and the shortterm interest rate forecast excess stock market returns. However, Bossaerts and Hillion (1999), Ang and Bekaert (2001), and Goyal and Welch (2003)...

Impact of momentum on stock returns in different market conditions

The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...

Robust Resampling Methods and Stock Returns Predictability