Reference
Veress, A. (2013). Up or Down? Riding International Stock Markets with Binary Choice Models. University of Liechtenstein.
Publication type
Working Paper
Abstract
Substantial evidence from Nyberg (2011) attests superior performance of binary choice error correction models, if the direction of excess stock returns is predicted. By applying five fundamental and macroeconomic variables to an extensive cross-country sample I investigate statistical and economic significance of error correction forecasts. Examining in-sample measures reveals no consistent improvement compared to a benchmark model, but certainty equivalents show that the error correction equation robustly outperforms buy-and-hold portfolios in an international setting. Moreover, for most countries predictive power is distributed over a longer period of data history, although, some stock markets exhibit a high degree of autocorrelation.
Research
- On the predictability of equity markets
- PhD-Thesis, September 2009 until December 2013 (finished)
This dissertation aims to examine three core subjects within this framework: a) Reliability of qualitative predictions of professionals, b) a modified asset pricing model for prediction purposes, c) ... more ...
Persons
Organizational Units
- Institute for Financial Services
- Chair in Business Administration, Banking and Financial Management