Should we expect significant out-of-sample results when predicting stock returns?

Erik Hjalmarsson ()
Additional contact information
Erik Hjalmarsson: https://www.gu.se/en/about/find-staff/erikhjalmarsson

No 855, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Stock; price; forecasting (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.federalreserve.gov/pubs/ifdp/2006/855/default.htm (text/html)
http://www.federalreserve.gov/pubs/ifdp/2006/855/ifdp855.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:855

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().