Stock index return forecasting: The information of the constituents

We investigate whether the use of component forecasts improves the accuracy of a portfolio forecast which uses only aggregate data. The results show that the use of component data improves the accuracy of aggregate forecasts. Furthermore, the long–short trading strategy based on the component forecasts always generates substantially higher returns than the buy-and-hold strategy.

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Year of publication:	2012
Authors:	Cai, Charlie X. ; Kyaw, Khine ; Zhang, Qi
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 1, p. 72-74
Publisher:	Elsevier
Subject:	Index forecasting \| Portfolio strategy \| Stock returns

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

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