Out-of-sample stock return predictability in emerging markets

Title: Out-of-sample stock return predictability in emerging markets
Creator: Bahrami, Afsaneh; Shamsuddin, Abul; Uylangco, Katherine
Relation: Accounting and Finance Vol. 58, Issue 3, p. 727-750
Publisher Link: http://dx.doi.org/10.1111/acfi.12234
Publisher: Wiley-Blackwell
Resource Type: journal article
Date: 2018
Description: This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the in‐sample and out‐of‐sample stock return predictability of ten advanced emerging markets. It compares forecasts from models with a single predictor variable, multiple predictor variables and a combination forecast approach. The results confirm the findings of Welch and Goyal (2008) for US data that only a limited number of individual predictor variables are able to deliver significant out‐of‐sample forecasts. However, a combination forecast approach provides statistically and economically significant out‐of‐sample forecast results.
Subject: return predictability; forecast combination; advanced emerging markets
Identifier: http://hdl.handle.net/1959.13/1409298
Identifier: uon:35988
Identifier: ISSN:0810-5391
Language: eng
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