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• W1982933110 startingPage "335" @default.
• W1982933110 abstract "Abstract The paper presents new evidence on the predictability of excess returns on common stocks for the Standard and Poor's 500 and the Dow Jones Industrial portfolios at the monthly, quarterly, and annual frequencies. It shows that recursive predictions obtained on the basis of the excess returns regressions are capable of correctly predicting a statistically significant proportion of the signs of the actual returns. The paper also shows that the switching portfolios constructed on the basis of the signs of the recursive predictions mean‐variance dominate the respective market portfolios when trading takes place on a quarterly or annual basis. This result holds even under a high transaction cost scenario. However, due to the larger number of transactions at the monthly frequency the monthly switching portfolios only mean‐variance dominate the respective market portfolios when transaction costs are zero or low." @default.
• W1982933110 created "2016-06-24" @default.
• W1982933110 creator A5004307122 @default.
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• W1982933110 date "1994-08-01" @default.
• W1982933110 modified "2023-10-13" @default.
• W1982933110 title "Forecasting stock returns an examination of stock market trading in the presence of transaction costs" @default.
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• W1982933110 doi "https://doi.org/10.1002/for.3980130402" @default.
• W1982933110 hasPublicationYear "1994" @default.
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