Elusive Return Predictability ∗

@inproceedings{Timmermann2007ElusiveRP,
  title={Elusive Return Predictability ∗},
  author={Allan Timmermann},
  year={2007}
}
Investors’ search for successful forecasting models leads the data generating process for financial returns to change over time which means that individual return forecasting models can at best hope to uncover evidence of ‘local’ predictability. We illustrate this point on a suite of forecasting models used to predict US stock returns and propose an adaptive forecast combination approach. Most of the time the forecasting models perform rather poorly, but there is evidence of relatively short… CONTINUE READING
Highly Cited
This paper has 24 citations. REVIEW CITATIONS
17 Citations
42 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 42 references

Economic Forecasting. Mimeo, UCSD

  • G. Elliott, A. Timmermann
  • 2007
1 Excerpt

Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? Forthcoming in Review of Financial Studies

  • J. Y. Campbell, S. Thompson
  • 2007

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

  • A. Goyal, I. Welch
  • Forthcoming in Review of Financial Studies
  • 2006
2 Excerpts

Forecasting Economic Variables with Nonlinear Models

  • T. Terasvirta
  • 2006
1 Excerpt

Forecasting with Breaks in Data Processes

  • M. P. Clements, D. F. Hendry
  • Handbook of Economic Forecasting,
  • 2006
1 Excerpt

Similar Papers

Loading similar papers…