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Out‐of‐sample stock return predictability in emerging markets

Author

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  • Afsaneh Bahrami
  • Abul Shamsuddin
  • Katherine Uylangco

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.

Suggested Citation

  • Afsaneh Bahrami & Abul Shamsuddin & Katherine Uylangco, 2018. "Out‐of‐sample stock return predictability in emerging markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 727-750, September.
    • Handle: RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750
    DOI: 10.1111/acfi.12234
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    References listed on IDEAS

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