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

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Year of publication:	[2006]
Authors:	Hjalmarsson, Erik
Publisher:	[2006]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (15 p)
Series:	FRB International Finance Discussion Paper ; No. 855
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2006 erstellt
Other identifiers:	10.2139/ssrn.894278 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012733911