Stock index return forecasting: The information of the constituents

Charlie X. Cai, Khine Kyaw and Qi Zhang

Economics Letters, 2012, vol. 116, issue 1, 72-74

Abstract: We investigate whether the use of component forecasts improves the accuracy of a portfolio forecast which uses only aggregate data. The results show that the use of component data improves the accuracy of aggregate forecasts. Furthermore, the long–short trading strategy based on the component forecasts always generates substantially higher returns than the buy-and-hold strategy.

Keywords: Index forecasting; Portfolio strategy; Stock returns (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:1:p:72-74

DOI: 10.1016/j.econlet.2012.01.014

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