Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test-Reference-Cited by-同舟云学术

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Are financial returns really predictable out-of-sample?: Evidence from a new bootstrap test

Published:2019-09 Issue: Volume:81 Page:124-135
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Liu Li,Bu Ruijun,Pan Zhiyuan,Xu Yuhua

Funder

Chinese National Science Foundation

National Social Science Fund of China

China Scholarship Council

Priority Academic Program Development of Jiangsu Higher Education Institutions

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference25 articles.

1. A trading approach to testing for predictability;Anatolyev;J. Bus. Econ. Stat.,2005

2. A conditional Kolmogorov test;Andrews;Econometrica: J. Economet. Soc.,1997

3. Stock return predictability and model uncertainty;Avramov;J. Financ. Econ.,2002

4. Predicting excess stock returns out of sample: can anything beat the historical average?;Campbell;Rev. Financ. Stud.,2008

5. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis;Clark;J. Econom.,2006

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