Out‐of‐Sample Predictability in International Equity Markets: A Model Selection Approach

Xiaojing Su, Tao Wang and Jian Yang ()

The Financial Review, 2009, vol. 44, issue 4, 559-582

Abstract: For 13 major international stock markets, there is much evidence of out‐of‐sample predictability for growth stocks especially when evaluated with economic criteria, and to a noticeably lesser extent for general stock markets and value stocks. Our results shed light on the recent debate about stock return predictability, using different assets (growth‐style indexes), forecasting variables (past returns), forecasting models (nonlinear models), and alternative forecasting evaluation criteria (economic criteria). Our analysis suggests that (growth) stock returns might be predictable.

Date: 2009
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https://doi.org/10.1111/j.1540-6288.2009.00230.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:44:y:2009:i:4:p:559-582

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