Out‐of‐sample stock return predictability in emerging markets |
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| Authors: | Afsaneh Bahrami Abul Shamsuddin Katherine Uylangco |
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| Affiliation: | 1. Newcastle Business School, University of Newcastle, Callaghan, NSW, Australia;2. QUT Business School, Queensland University of Technology, Brisbane, QLD, Australia |
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| Abstract: | This article builds on the widely debated issue of stock return predictability by applying a broad range of predictor variables and comprehensively considering the in‐sample and out‐of‐sample stock return predictability of ten advanced emerging markets. It compares forecasts from models with a single predictor variable, multiple predictor variables and a combination forecast approach. The results confirm the findings of Welch and Goyal (2008) for US data that only a limited number of individual predictor variables are able to deliver significant out‐of‐sample forecasts. However, a combination forecast approach provides statistically and economically significant out‐of‐sample forecast results. |
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| Keywords: | Return predictability Forecast combination Advanced emerging markets |
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