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- W2185615187 abstract "This paper uses statistical model selection criteria and Avramov’s (2002) Bayesian model averaging approach to analyze the sample evidence on stock market predictability in the presence of model uncertainty. Based on Swiss stock market data, our posterior analysis finds that neither the cumulative posterior probabilities nor the posterior probabilities of the individual forecasting models are constant through time. We also decompose the variance of predicted future excess returns into three components: uncertainty attributed to forecast errors, parameter uncertainty, and model uncertainty. The empirical results indicate that the respective contributions are highly dependent on the time period under consideration and the initial values of the predictive variables. In contrast to Avramov (2002), model uncertainty is generally not more important than parameter uncertainty. Finally, we also demonstrate the implications of model uncertainty for tactical asset allocation strategies. Our results do not indicate any reliable out-of-sample return predictability. Moreover, in contrast to Avramov (2002), the out-of-sample performance of the Bayesian model averaging approach is not generally superior to the statistical model selection criteria. Consequently, even properly incorporating model uncertainty into a tactical asset allocation model does not seem to help improving the performance of the resulting short-term tactical asset allocation strategies. ∗Department of Finance, WWZ University of Basel, Holbeinstrasse 12, 4051 Basel, Switzerland; Phone: +41-61-267 33 07, Mail: david.rey@unibas.ch. Second preliminary version. The valuable comments of Manuel Ammann, Markus Schmid, and Heinz Zimmermann are gratefully acknowledged. Financial support from the National Center of Competence in Research “Financial Valuation and Risk Management” (NCCR FINRISK) is gratefully acknowledged. The NCCR FINRISK is a research program supported by the Swiss National Science Foundation." @default.
- W2185615187 created "2016-06-24" @default.
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- W2185615187 date "2004-01-01" @default.
- W2185615187 modified "2023-09-26" @default.
- W2185615187 title "Tactical Asset Allocation and Model Uncertainty: An Exploratory Study for the Swiss Stock Market" @default.
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