Elusive return predictability: Discussion

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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 languageEnglish
Pages (from-to)19-21
Number of pages3
JournalInternational Journal of Forecasting
Issue number1
Publication statusPublished - 1 Jan 2008
Externally publishedYes

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