This thesis involved an empirical investigation of the predictability of Australian industrial stock returns using a … industries are critical in the investigation of the predictability of returns. In the out-of-sample analysis, a maximally … predicted portfolio (MPP) was constructed based on the updated economic and financial information; however, the predictability …

I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over …. Specifically, predictability of returns, as measured by their first-order autocorrelation coefficient, was positive most of the … increase. I argue that this timepattern of predictability of returns is consistent with feedback effects of futures trading on …