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- W80609563 abstract "The predictability of asset returns is a much debated and investigated subject in academia as well as in the financial services industry. In this thesis we study the predictability of the returns of European stock indices, using time series and regression based forecasting methods, as well as filtering techniques, specifically the Hodrick-Prescott filter. In disagreement with the Efficient Market Hypothesis, which claims that asset prices incorporate all information embedded in historical prices, indications of predictability based on historical returns are found. Predictability was further improved by filtering the data before applying the forecasting methods. Acknowledgements. Many thanks to my supervisor Boualem Djehiche for the idea to this thesis and valuable input, comments and support along the way. I am also very grateful to the employees at Archipel Asset Management and Brummer & Partners for making the process of writing this thesis an invaluable learning experience and among the most fun and interesting times of my studies at KTH." @default.
- W80609563 created "2016-06-24" @default.
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- W80609563 date "2011-01-01" @default.
- W80609563 modified "2023-09-24" @default.
- W80609563 title "On Prediction and Filtering of Stock Index Returns" @default.
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