We would like to thank Yongmiao Hong and Tae-Hwy Lee for sharing some computer programs used in this study; Ken French for making the data available through his website; Donald R. Fraser, Hui Guo, Dennis W. Jansen, Qi Li, Robert A. Van Ness and seminar and session participants at Texas A&M University and the 2009 Eastern Finance Association for much help and suggestions. We are grateful to the editor (Arnie Cowan) and the anonymous referee for very extensive comments, which greatly improved the paper. Wang and Yang acknowledge financial support from the PSC-CUNY research grant and the UC Denver Faculty Research & Scholarship Completion Fund, respectively.
Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach
Version of Record online: 12 OCT 2009
© 2009, The Eastern Finance Association
Volume 44, Issue 4, pages 559–582, November 2009
How to Cite
Su, X., Wang, T. and Yang, J. (2009), Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach. Financial Review, 44: 559–582. doi: 10.1111/j.1540-6288.2009.00230.x
- Issue online: 12 OCT 2009
- Version of Record online: 12 OCT 2009
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