IDEAS home Printed from https://ideas.repec.org/a/czx/journl/v11y2004i20id131.html
   My bibliography  Save this article

Evaluating Statistical and Economic Significance of Polish Stock Return Predictability

Author

Listed:
  • Dita Fuchsová
  • Filip Žikeš

Abstract

The purpose of this paper is to investigate the economic and statistical significance of Polish stock return predictability in the period 1997-2003. Using monthly data, the analysis is performed on 48 most liquid Polish stocks that are grouped into five equal-weighted sector portfolios. We focus on the predictive power of various lagged macroeconomic variables and interest rate for forecasting the portfolio returns. Using a simple dynamic trading strategy based on the maximum predictable portfolio (Lo and MacKinlay, 1997) we test, if it was possible to attain above average rate of return when adjusted for transaction costs. We find statistically significant stock return predictability but the economic significance cannot be established.

Suggested Citation

  • Dita Fuchsová & Filip Žikeš, 2004. "Evaluating Statistical and Economic Significance of Polish Stock Return Predictability," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 11(20).
  • Handle: RePEc:czx:journl:v:11:y:2004:i:20:id:131
    as

    Download full text from publisher

    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/131
    Download Restriction: no

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:11:y:2004:i:20:id:131. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik). General contact details of provider: http://edirc.repec.org/data/czessea.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.