International Finance Discussion Papers (IFDP)
February 2006
Should We Expect Significant Out-of-Sample Results When Predicting Stock Returns?
Erik Hjalmarsson
Abstract:
Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated.
Full paper (screen reader version)Keywords: Stock return predictability, Out-of-sample tests
PDF: Full Paper
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