Forecasting stock market returns: New technical indicators and two-step economic constraint method

Zhifeng Dai, Xiaodi Dong, Jie Kang and Lianying Hong

The North American Journal of Economics and Finance, 2020, vol. 53, issue C

Abstract: The goal of our paper is to improve the accuracy of stock return forecasts by combining new technical indicators and a new two-step economic constraint forecasting model. Empirical results indicate the stock return forecasts generated by new technical indicators and new economic constraint forecasting model is statistically and economically significant both in-sample and out-of-sample prediction performance. In addition, the prediction performance of new technical indicators and new economic constraint forecasting model is robust for some extension and robustness analysis.

Keywords: Stock return predictability; Economic constraints; Out-of-sample forecast; Technical indicators; Asset allocation (search for similar items in EconPapers)
JEL-codes: C11 C22 G11 G12 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133

DOI: 10.1016/j.najef.2020.101216

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