On the out-of-sample predictability of stock market returns

No 2002-008, Working Papers from Federal Reserve Bank of St. Louis

Abstract: In this paper, we provide new evidence of the out-of-sample predictability of stock returns. In particular, we find that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample forecasting power for excess stock market returns. Also, simple trading strategies based on the documented predictability generate returns of higher mean and lower volatility than the buy-and-hold strategy does, and this difference is economically important.

Keywords: Stock; market (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations:

Published in Journal of Business, March 2006, 79(2), pp. 645-70

Downloads: (external link)
http://research.stlouisfed.org/wp/more/2002-008 (application/pdf)
http://research.stlouisfed.org/wp/2002/2002-008.pdf

Related works:
Journal Article: On the Out-of-Sample Predictability of Stock Market Returns (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2002-008

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Anna Oates ().