Should we expect significant out-of-sample results when predicting stock returns?
Abstract: Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated.
Keywords: Stock price forecasting;
File(s): File format is text/html http://www.federalreserve.gov/pubs/ifdp/2006/855/default.htm
File(s): File format is application/pdf http://www.federalreserve.gov/pubs/ifdp/2006/855/ifdp855.pdf
Part of Series: International Finance Discussion Papers
Publication Date: 2006