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

24 Pages Posted: 14 Oct 2009

See all articles by Xiaojing Su

Xiaojing Su

affiliation not provided to SSRN

Tao Wang

City University of New York (CUNY) - Department of Economics

Jian Yang

University of Colorado at Denver - Business School

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Abstract

For 13 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.

Suggested Citation

Su, Xiaojing and Wang, Tao and Yang, Jian, Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach. Financial Review, Vol. 44, Issue 4, pp. 559-582, November 2009, Available at SSRN: https://ssrn.com/abstract=1488498 or http://dx.doi.org/10.1111/j.1540-6288.2009.00230.x

Xiaojing Su (Contact Author)

affiliation not provided to SSRN

Tao Wang

City University of New York (CUNY) - Department of Economics ( email )

65-30 Kissena Blvd
Flushing, NY 11367-1597
United States

Jian Yang

University of Colorado at Denver - Business School ( email )

1250 14th St.
Denver, CO 80204
United States

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