Forecasting stock returns in good and bad times: The role of market states

Forecasting stock returns in good and bad times: The role of market states

This paper proposes a two-state predictive regression model and shows that stock market 12-month return (TMR), the time-series momentum predictor of Moskowitz, Ooi, and Pedersen (2012), forecasts the aggregate stock market negatively in good times and positively in bad times. The out-of-sample R-squ...

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Bibliographic Details
Main Authors: HUANG, Dashan, JIANG, Fuwei, Jun TU, ZHOU, Guofu
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2017
Subjects:
Return predictability
Mean reversion
Momentum
Market risk premium
Leading economic indicator
200-day moving average
Business cycle
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5156
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6155/viewcontent/SSRN_id2188989.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/lkcsb_research/5156
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6155/viewcontent/SSRN_id2188989.pdf

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