We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate … regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of … statistical and economic evaluation measures. We consider linear and non-linear regressions as well as forecast evaluations over …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …