Predicting Stock Price Movements: Regressions versus Economists

Paul Söderlind

University of St. Gallen Department of Economics working paper series 2007 from Department of Economics, University of St. Gallen

Abstract: The out-of-sample forecasting performance of traditional stock return models (dividend yield, t-bill rate, etc.) is compared with the forecasting performance of the Livingston survey. The results suggest that the survey forecasts are much like a "too large" forecasting model: poor performance and too sensitive to irrelevant information.

Keywords: Livingston survey; out-of-sample forecasts (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2007-06
New Economics Papers: this item is included in nep-for
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http://ux-tauri.unisg.ch/RePEc/usg/dp2007/DP-23-So.pdf (application/pdf)

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Journal Article: Predicting stock price movements: regressions versus economists (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2007:2007-23

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