Out-of-sample stock return predictability in Australia
نویسندگان
چکیده
منابع مشابه
Data Revisions and Out-of-Sample Stock Return Predictability
Lettau and Ludvigson (2001) find that the consumption-wealth ratio (cay) constructed from revised data is a strong predictor of stock market returns. This paper shows that its out-ofsample forecasting power becomes substantially weaker if cay is estimated using information available at the time of forecast. The difference, which mainly reflects periodic revisions in consumption and labor income...
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ژورنال
عنوان ژورنال: Australian Journal of Management
سال: 2012
ISSN: 0312-8962,1327-2020
DOI: 10.1177/0312896211428493