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Forecasting Stock Price Changes: Is it Possible?

Pedro Rodriguez () and Simon Sosvilla-Rivero ()

No 2006-22, Working Papers from FEDEA

Abstract: We examine the relation between monthly stock returns and lagged publicly available information. Our primary objective is to determine whether the variables proposed in the literature to predict the equity premium contain incremental information to an investor. We find that certain variables do provide incremental information and may have some practical value. Although this not necessarily imply that return-forecasting models may be used to predict future stock returns, some model specifications may be used to predict future stock movements.

Date: 2006-10
New Economics Papers: this item is included in nep-ecm, nep-fmk, nep-for and nep-rmg
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