Economic and financial crises and the predictability of U.S. stock returns

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• 作者：Daniel Hartmann ; Bernd Kempa ; Christian Pierdzioch
• 关键词：Forecasting stock returns ; Financial and economic crises ; Trading rules
• 刊名：Journal of Empirical Finance
• 出版年：2008
• 期刊代码：40_09275398
• 类别：eco
• 出版时间：June 2008
• 卷：15
• 期：3
• 页码：468-480
• 文件大小：260 K

摘要

We argue that the use of publicly available and easily accessible information on economic and financial crises to detect structural breaks in the link between stock returns and macroeconomic predictor variables improves the performance of simple trading rules in real time. In particular, our results suggest that accounting for structural breaks and regime shifts in forecasting regressions caused by economic and financial crises has the potential to increase the out-of-sample predictability of stock returns, the performance of simple trading rules, and the market-timing ability of an investor trading in the U.S. stock market.