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Forecasting sector stock market returns

Published:2021-05-04 Issue:4 Volume:22 Page:291-300
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

McMillan David G.^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

https://link.springer.com/content/pdf/10.1057/s41260-021-00220-6.pdf

Reference25 articles.

1. Ang, A., and G. Bekaert. 2007. Stock return predictability: Is it there?. Review of Financial Studies 20: 651–707.

2. Baltas, N., and D. Karyampas. 2018. Forecasting the equity risk premium: The importance of regime-dependent evaluation. Journal of Financial Markets 38: 83–102.

3. Beller, K.R., J.L. Kling, and M.J. Levinson. 1998. Are industry stock returns predictable?. Financial Analysts Journal 54: 42–57.

4. Campbell, J.Y., and R.J. Shiller. 1988. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1: 195–228.

5. Campbell, J.Y., and S.B. Thompson. 2008. Predicting excess stock returns out of sample: Can anything beat the historical average?. Review of Financial Studies 21: 1509–1531.

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