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Forecasting Stock Price Changes: Is it Possible?

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  • Pedro N. Rodríguez,
  • Simón Sosvilla-Rivero

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.

Suggested Citation

  • Pedro N. Rodríguez, & Simón Sosvilla-Rivero, 2006. "Forecasting Stock Price Changes: Is it Possible?," Working Papers 2006-22, FEDEA.
    • Handle: RePEc:fda:fdaddt:2006-22
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    Cited by:

    1. Giulio Palomba, 2008. "Multivariate GARCH models and the Black-Litterman approach for tracking error constrained portfolios: an empirical analysis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 10(4), pages 379-413.

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