Bansal, Naresh; Strauss, Jack; Nasseh, Alireza - In: Journal of Economics and Finance 39 (2015) 1, pp. 1-22
This paper forecasts earnings per share four- and eight- quarters ahead for 30 Dow firms using out-of-sample combination forecast methods. We show that many financial/economic variables, such as price-earnings ratio, dividend yield and Treasury bill rate, fail to predict out-of-sample EPS...
