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Should we expect significant out-of-sample results when predicting stock returns?

Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated.
Year of publication:
2006
Authors: Hjalmarsson, Erik
Institutions: Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject: Stock price forecasting
Extent:
text/html
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Number 855
Source:
Persistent link: https://www.econbiz.de/10005368259
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