Purpose: This article investigates stock return predictability in the Korean stock market using the methodology of dynamic factor analysis. Design/methodology/approach: This article collects monthly data on the equity risk premium on the KOSPI and twelve financial and macroeconomic variables...

A chaotic method is employed to forecast a near future of uncertain phenomena. The method makes it possible by restructuring an attractor of given time-series data in a multi-dimensional space through Takens' embedding theory. However, many economical time-series data are not sufficiently...