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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
|
| Subjects: | |
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |