Forecasting Stock Price Changes: Is it Possible?
Pedro Rodriguez () and
Simon Sosvilla-Rivero ()
No 2006-22, Working Papers from FEDEA
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.
New Economics Papers: this item is included in nep-ecm, nep-fmk, nep-for and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fda:fdaddt:2006-22
Access Statistics for this paper
More papers in Working Papers from FEDEA
Bibliographic data for series maintained by Carmen Arias ().