On the out-of-sample predictability of stock market returns

Preprint
Publisher Website
Google Scholar
  • 1 January 2003
    • preprint
      • Published in RePEc
Abstract
In this paper, we provide new evidence of the out-of-sample predictability of stock returns. In particular, we 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.
All Related Versions

This publication has 0 references indexed in Scilit: