On the out-of-sample predictability of stock market returns

EconPapers Home About EconPapers Working Papers Journal Articles Books and Chapters Software Components Authors JEL codes New Economics Papers Advanced Search. In this paper, I provide new evidence of the out-of-sample predictability of stock returns. In particular, I find that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample forecasting power for excess stock market returns.

Also, simple trading strategies based on the documented predictability generate returns of higher mean and lower volatility than the buy-and-hold strategy does, and this difference is economically important.

Out-of-sample stock return predictability in emerging markets - Bahrami - - Accounting & Finance - Wiley Online Library

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On the Out-of-Sample Predictability of Stock Market Returns Hui Guo Obfuscate 'uc.