How much stock return predictability can we expect from an asset pricing model?

Guofu Zhou

Economics Letters, 2010, vol. 108, issue 2, 184-186

Abstract: We provide a new upper bound on the R-squared of a predictive regression of stock returns on predictable variables, tightening substantially Ross's (2005) bound. An empirical application illustrates that while Ross's bound is not binding, our bound does.

Keywords: Predictive; regression; R-squared; Forecasting; stock; return (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (23)

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