Should we expect significant out-of-sample results when predicting stock returns?
By: Erik Hjalmarsson
Series: International finance discussion papers -- no. 855; International finance discussion papers (Online) -- no. 855.
Publisher: Federal Reserve Board
Published: 2006
Place of publication: Washington, D.C
Language: eng
Format: [electronic resource] /
Description: "Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/1/2006.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.