Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach

35 Pages Posted: 22 Jun 2009

See all articles by Xiaojing Su

Xiaojing Su

affiliation not provided to SSRN

Wang Tao

affiliation not provided to SSRN

Jian Yang

University of Colorado at Denver - Business School

Multiple version iconThere are 2 versions of this paper

Date Written: May 19, 2009

Abstract

For thirteen major international stock markets, there is much evidence of out-of-sample predictability for growth stocks especially when evaluated with economic criteria, and to a noticeably lesser extent for general stock markets and value stocks. Our results shed light on the recent debate about stock return predictability, using different assets (growth style indexes), forecasting variables (past returns), forecasting models (nonlinear models), and alternative forecasting evaluation criteria (economic criteria). Our analysis suggests that (growth) stock returns might be predictable.

Keywords: international stock markets, model selection, economic criteria, nonparametric models, forecasting

JEL Classification: C2, C5, G15

Suggested Citation

Su, Xiaojing and Tao, Wang and Yang, Jian, Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach (May 19, 2009). The Financial Review, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1422665

Xiaojing Su

affiliation not provided to SSRN

Wang Tao

affiliation not provided to SSRN

Jian Yang (Contact Author)

University of Colorado at Denver - Business School ( email )

1250 14th St.
Denver, CO 80204
United States

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