On the Out-of-Sample Predictability of Stock Market Returns
Hui Guo ()
The Journal of Business, 2006, vol. 79, issue 2, 645-670
In this paper, I provide new evidence of the out-of-sample predictability of stock returns. In particular, I find that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample forecasting power for excess stock market returns. Also, simple trading strategies based on the documented predictability generate returns of higher mean and lower volatility than the buy-and-hold strategy does, and this difference is economically important.
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Working Paper: On the out-of-sample predictability of stock market returns (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:2:p:645-670
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