Hartmann, Daniel and Kempa, Bernd and Pierdzioch, Christian (2006): Economic and Financial Crises and the Predictability of U.S. Stock Returns.
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We argue that the use of publicly available and easily accessible information on economic and financial crises to detect structural breaks in the link between stock returns and macroeconomic predictor variables improves the performance of simple trading rules in real time. In particular, our results suggest that accounting for structural breaks and regime shifts in forecasting regressions caused by economic and financial crises has the potential to increase the out-of-sample predictability of stock returns, the performance of simple trading rules, and the market-timing ability of an investor trading in the U.S. stock market.
|Item Type:||MPRA Paper|
|Original Title:||Economic and Financial Crises and the Predictability of U.S. Stock Returns|
|Keywords:||Forecasting stock returns; financial and economic crises; trading rules|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
|Depositing User:||Daniel Hartmann|
|Date Deposited:||23. Oct 2006|
|Last Modified:||12. Feb 2013 16:05|
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