Pesaran is from Trinity College, Cambridge. Timmermann is from University of California, San Diego. This is a substantially revised and abridged version of the paper “The Use of Recursive Model Selection Strategies in Forecasting Stock Returns,” Department of Applied Economics Working paper No. 9406, March 1994, University of Cambridge. We would like to thank a referee and the editor, René Stulz, as well as seminar participants at The London School of Economics, The University of Exeter, The Bank of England, University of Southern California, and University of California at San Diego for helpful comments on the earlier version. The first author gratefully acknowledges financial support from the Economic and Social Research Council and the Newton Trust of Trinity College, Cambridge.
Predictability of Stock Returns: Robustness and Economic Significance
Version of Record online: 30 APR 2012
© 1995 the American Finance Association
The Journal of Finance
Volume 50, Issue 4, pages 1201–1228, September 1995
How to Cite
PESARAN, M. H. and TIMMERMANN, A. (1995), Predictability of Stock Returns: Robustness and Economic Significance. The Journal of Finance, 50: 1201–1228. doi: 10.1111/j.1540-6261.1995.tb04055.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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