Chun, Sungju - In: Global business and finance review 26 (2021) 4, pp. 77-89
Purpose: This article investigates stock return predictability in the Korean stock market using the methodology of … forecasting performance of the dynamic factor predictive regression model by comparing in-sample and out-of-sample predictability … statistically and economically significant in-sample predictability for the future equity risk premium for the KOSPI, as strongly as …