Forecasting stock returns using model-selection criteria
Contribuinte(s) |
G. Otto P. Miller |
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Data(s) |
01/01/2005
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Resumo |
This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Blackwell Publishing |
Palavras-Chave | #Economics #Asset Pricing Model #Investment Opportunities #Economic-significance #Leading Indicators #Expected Returns #Real Activity #Inflation #Prices #Yields #C1 #340401 Economic Models and Forecasting #350301 Finance #710401 Finance and investment services #350300 Banking, Finance and Investment |
Tipo |
Journal Article |