In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the Samp;P 500 index and its volatility. Using monthly data from 1954...

This paper develops a novel approach to simultaneously test for market timing in stock index returns and volatility. The tests are based on the estimation of a system of regression equations with indicator variables and provide detailed information about the statistical significance of...

In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from...

This paper focuses on the seasonal predictability of stock market returns. we investigate the statistical significance of predicting stock returns from several calendar dummies. Our main findings, using monthly stock market returns from Belgium. Germany, the Netherlands, UK and US, are that the...