EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940820301133
Full text for ScienceDirect subscribers only

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:eee:ecofin:v:53:y:2020:i:c:s1062940820301133

DOI: 10.1016/j.najef.2020.101216

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-10-03
Handle: RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133