Stock index return forecasting: The information of the constituents
AbstractWe investigate whether the use of component forecasts improves the accuracy of a portfolio forecast which uses only aggregate data. The results show that the use of component data improves the accuracy of aggregate forecasts. Furthermore, the long–short trading strategy based on the component forecasts always generates substantially higher returns than the buy-and-hold strategy.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 116 (2012)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet
Index forecasting; Portfolio strategy; Stock returns;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Breen, William & Glosten, Lawrence R & Jagannathan, Ravi, 1989. " Economic Significance of Predictable Variations in Stock Index Returns," Journal of Finance, American Finance Association, vol. 44(5), pages 1177-89, December.
- Kanas, Angelos, 2001. "Neural Network Linear Forecasts for Stock Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(3), pages 245-54, July.
- Francis X. Diebold & Robert S. Mariano, 1994.
"Comparing Predictive Accuracy,"
NBER Technical Working Papers
0169, National Bureau of Economic Research, Inc.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
- Hendry, David F. & Hubrich, Kirstin, 2011.
"Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 29(2), pages 216-227.
- Hendry, David F. & Hubrich, Kirstin, 2010. "Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate," Working Paper Series 1155, European Central Bank.
- Hernandez-Murillo, Ruben & Owyang, Michael T., 2006.
"The information content of regional employment data for forecasting aggregate conditions,"
Elsevier, vol. 90(3), pages 335-339, March.
- Rubén Hernández-Murillo & Michael T. Owyang, 2004. "The information content of regional employment data for forecasting aggregate conditions," Working Papers 2004-005, Federal Reserve Bank of St. Louis.
- Fok, D. & Dijk, D.J.C. van & Franses, Ph.H.B.F., 2004.
"Forecasting aggregates using panels of nonlinear time series,"
Econometric Institute Report
EI 2004-44, Erasmus University Rotterdam, Econometric Institute.
- Fok, Dennis & van Dijk, Dick & Franses, Philip Hans, 2005. "Forecasting aggregates using panels of nonlinear time series," International Journal of Forecasting, Elsevier, vol. 21(4), pages 785-794.
- Hendry, David F & Hubrich, Kirstin, 2006.
"Forecasting Economic Aggregates by Disaggregates,"
CEPR Discussion Papers
5485, C.E.P.R. Discussion Papers.
- Jennifer L. Castle & David F. Hendry, 2010. "Nowcasting from disaggregates in the face of location shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 200-214.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.