Forecasting Stock Price Changes: Is it Possible?

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Forecasting Stock Price Changes: Is it Possible?

Author Info

Pedro N. Rodríguez,
Simón Sosvilla-Rivero

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Abstract

We examine the relation between monthly stock returns and lagged publicly available information. Our primary objective is to determine whether the variables proposed in the literature to predict the equity premium contain incremental information to an investor. We find that certain variables do provide incremental information and may have some practical value. Although this not necessarily imply that return-forecasting models may be used to predict future stock returns, some model specifications may be used to predict future stock movements.

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Paper provided by FEDEA in its series Working Papers with number 2006-22.

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Date of creation: Oct 2006
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Handle: RePEc:fda:fdaddt:2006-22

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This paper has been announced in the following NEP Reports:

NEP-ALL-2006-07-21 (All new papers)
NEP-ECM-2006-07-21 (Econometrics)
NEP-FMK-2006-07-21 (Financial Markets)
NEP-FOR-2006-07-21 (Forecasting)
NEP-RMG-2006-07-21 (Risk Management)

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