Elusive return predictability: Discussion

Stephen J. Brown

doi:10.1016/j.ijforecast.2007.08.003

Elusive return predictability: Discussion

Stephen J. Brown

Research output: Contribution to journal › Article › Research › peer-review

7 Citations (Scopus)

Abstract

Two major conclusions follow from this very careful study. First, sophisticated prediction tools do not fare well relative to naive models in predicting returns based on past sample means. Second, there appear to be short-lived episodes of quite limited return predictability. These conclusions are consistent with all we know from the theoretical developments in financial economics over the past 35 years and more.

Original language	English
Pages (from-to)	19-21
Number of pages	3
Journal	International Journal of Forecasting
Volume	24
Issue number	1
DOIs	https://doi.org/10.1016/j.ijforecast.2007.08.003
Publication status	Published - 1 Jan 2008
Externally published	Yes

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10.1016/j.ijforecast.2007.08.003

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Elusive return predictability: Discussion

Abstract

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