Abstract
This article investigates whether financial ratios (dividend yield, price earnings ratio, book to market value) can predict aggregate stock returns. We report a forecasting competition between single and multiple OLS, GARCH and ECM-GARCH regressions of the Greek return series. First, we test the out-of-sample forecasting accuracy, and then we compare the forecasting techniques based on the symmetric error statistics under both static and dynamic methods. The results show that ECM-GARCH(1,1) model has significant coefficients. Both static and dynamic forecasts confirm that ECM-GARCH(1,1) is the most appropriate model for forecasting returns during the period January 2003 - December 2004.
Original language | English |
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Pages (from-to) | 31-44 |
Number of pages | 14 |
Journal | International Journal of Financial Economics and Econometrics |
Volume | 14 |
Issue number | 1 |
Publication status | Published - 2009 |