Predicting Stock Price Movements: Regressions versus Economists

The out-of-sample forecasting performance of traditional stock return models (dividend yield, t-bill rate, etc.) is compared with the forecasting performance of the Livingston survey. The results suggest that the survey forecasts are much like a too large forecasting model: poor performance and too sensitive to irrelevant information.

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Year of publication:	2007-03-01
Authors:	Söderlind, Paul
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Aktienkurs \| Prognosemodell

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Extent:	177152 bytes 12 p. application/pdf
Series:	Universität Zürich - Institut für schweizerisches Bankwesen Working paper ; 390 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858063