Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
نویسندگان
چکیده
منابع مشابه
Should We Expect Significant Out-of-Sample Results when Predicting Stock Returns?
Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated. JEL classification: C15; C53; G14.
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2007
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhm055