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• W3026081405 startingPage "100568" @default.
• W3026081405 abstract "We improve the performance of stock return forecasts using predictive regressions with ordinary least squares (OLS) estimates weighted by a class of time-dependent functions (TWLS). To address the structural breaks in predictive relationships, these functions assign heavier weights to more recent observations. We find return predictability that is statistically and economically significant using a forecast combination of univariate TWLS models. TWLS estimates lead to much stronger return predictability than OLS estimates. The forecast improvement from TWLS is also found when forecasting characteristic portfolio returns and when using newly proposed predictor variables. These findings survive a series of robustness checks." @default.
• W3026081405 created "2020-05-29" @default.
• W3026081405 creator A5008379630 @default.
• W3026081405 creator A5011309730 @default.
• W3026081405 creator A5090332144 @default.
• W3026081405 date "2021-03-01" @default.
• W3026081405 modified "2023-10-07" @default.
• W3026081405 title "Forecasting stock returns: A time-dependent weighted least squares approach" @default.
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• W3026081405 doi "https://doi.org/10.1016/j.finmar.2020.100568" @default.
• W3026081405 hasPublicationYear "2021" @default.
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