We investigate predictive abilities of nonlinear models for stock returns when density forecasts are evaluated and compared instead of the conditional mean point forecasts. The aim of this paper is to show whether the in-sample evidence of strong nonlinearity in mean may be exploited for...

Purpose – This study aims to use gray models to predict abnormal stock returns.Design/methodology/approach – Data are collected from listed companies in the Tehran Stock Exchange during 2005-2015. The analyses portray three models, namely, the gray model, the nonlinear gray Bernoulli model...