A Recursive Modelling Approach to Predicting Uk Stock Returns
نویسندگان
چکیده
This paper applies an extended and generalised version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock market. The focus of the analysis is to simulate investors' search in `real time' for a model that can forecast stock returns. We ®nd evidence of predictability in UK stock returns which could have been exploited by investors to improve on the risk-return trade-off offered by a passive strategy in the market portfolio. Alternative interpretations of this ®nding are brie ̄y discussed.
منابع مشابه
Non-Linear Relationships Among Oil Price, Gold Price and Stock Market Returns in Iran: A Multivariate Regime-Switching Approach
In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...
متن کاملApplication of HS Meta-heuristic Algorithm in Designing a Mathematical Model for Forecasting P/E in the Panel Data Approach
In financial markets such as Tehran Stock Exchange, P/E coefficient, which is one of the most well-known instruments for evaluating stock prices in financial markets, is considered necessary for shareholders, investors, analysts and corporate executives. P/E is used as an important indicator in investment decisions. In this research, harmony search metaheuristic algorithm is used to select opti...
متن کاملInvestigating the Impact of Time-varying Volatility of Macroeconomic Indices on the Predictability of Optimal Stock Portfolio Return in Tehran Stock Exchange
In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selection (DMS) and Dynamic Model Averaging (DMA) and a comparison with the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (with data on a monthly basis) are discussed. In the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...
متن کاملInvestigating the Effect of Internal Rate of Return on Cash Re-cycling on the Abnormal Returns of Companies Accepted in Tehran Stock Exchange
Return on investment is a driving force that motivates and is a reward for investors. Investment returns are important for investors, in order for the entire investment game to be realized. Evaluating efficiency is the only logical way (Before risk assessment) that investors can do to compare alternative and different investments. Measuring real returns (relative to the past) is needed to bette...
متن کاملInvestigating the Impact of Time-varying Volatility of Macroeconomic Indices on the Predictability of Optimal Stock Portfolio Return in Tehran Stock Exchange
In this study, 3 models of Time-Varying Parameters (TVP), Dynamic Model Selecting (DMS) and Dynamic Model Averaging (DMA) and their comparison via the Ordinary Least Squares (OLS) method in MATLAB in the time period 2003-2013 (monthly) are discussed. In the present study the variables of unofficial exchange rate changes, interest rate changes and inflation oil price forecast returns for stocks ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 1999