Out‐of‐sample stock return predictability in emerging markets

Afsaneh Bahrami, Abul Shamsuddin () and Katherine Uylangco

Accounting and Finance, 2018, vol. 58, issue 3, 727-750

Abstract: This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the in‐sample and out‐of‐sample stock return predictability of ten advanced emerging markets. It compares forecasts from models with a single predictor variable, multiple predictor variables and a combination forecast approach. The results confirm the findings of Welch and Goyal (2008) for US data that only a limited number of individual predictor variables are able to deliver significant out‐of‐sample forecasts. However, a combination forecast approach provides statistically and economically significant out‐of‐sample forecast results.

Date: 2018
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