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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/24286

Title: Forecasting returns: new European evidence
Authors: Jordan, Steven J.
Vivian, Andrew J.
Wohar, Mark E.
Keywords: Return forecasting
Fundamental ratios
Macro variables
Technical indicators
Emerging markets
Issue Date: 2014
Publisher: © Elsevier B.V.
Citation: JORDAN, S.J., VIVIAN, A.J. and WOHAR, M.E., 2014. Forecasting returns: new European evidence. Journal of Empirical Finance, 26 pp.76-95
Abstract: This paper builds on the recent debate on the in-sample and out-of-sample predictability of US aggregate returns using a wide range of predictors by providing new evidence for smaller and less market-oriented European countries. We find evidence that macro and technical predictors can (statistically) improve forecast accuracy and (economically) generate gains to investors; in contrast to the US results, predictability in our sample of European countries exists in recent data. We also find that simple forecast combinations consistently yield substantial benefits both in forecast accuracy and economic gain. For example, the magnitude of the forecasting gains for our European countries is often larger than those found for the US and other G7 countries. We provide initial evidence on the link between country characteristics and out-of-sample forecast performance. Our empirical results indicate that market development is related to the forecast performance of macro variables. There is also some evidence that forecast performance is related to market size and liquidity.
Version: Accepted for publication
DOI: 10.1016/j.jempfin.2014.02.001
URI: https://dspace.lboro.ac.uk/2134/24286
Publisher Link: http://dx.doi.org/10.1016/j.jempfin.2014.02.001
Appears in Collections:Published Articles (Business)

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