Elusive Return Predictability
By Allan G. Timmermann. 2008
228 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/33fed153c1126bd0c142e8112a564b196728bb12
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Citations in the corpus
- Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2010, unknown): “4 Timmermann (2008) discusses how the changing nature of the data-generating process makes return predictability "elusive.”
- The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Timmermann (2008) notes that incomplete learning effects, structural changes in the return generating process and exogenous events can cause return predictability to evolve through time.”
- Forecast comparisons in unstable environments (2010, result): “As an additional economic motivation for our analysis, Timmermann (2008) suggests that, as a result of ef cient markets where investors are constantly searching for arbitrage opportunities, one would not expect to nd constant predictability patterns.”
- Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “Timmermann (2008) further notes that incomplete learning effects, structural changes in the return generating process and exogenous events can cause return predictability to evolve through time.”
- Advances in Forecasting Under Instability (2012, unknown): “Timmermann (2008) concludes that "most of the time the forecasting models perform rather poorly, but there is evidence of relatively short-lived periods with modest return predictability.”
- A Comprehensive Look at Financial Volatility Prediction by Economic Variables (2011, unknown): “These improvements do not hold for all asset classes and sample periods uniformly, however, and, as in the case of return predictability (Goyal and Welch, 2008; Timmermann, 2008), forecast performance can vary strongly over time.”