Predicting stock returns and assessing prediction performance
(2007)
Journal Article
Baker, R., & Belgorodski, A. (2007). Predicting stock returns and assessing prediction performance. IMA Journal of Management Mathematics, 18(4), 413-433. https://doi.org/10.1093/imaman/dpm023
We use regression methods to predict the expected monthly return on stocks and the covariance matrix of returns, the predictor variables being a company's ‘fundamentals’, such as dividend yield and the history of previous returns. Predictions are eva... Read More about Predicting stock returns and assessing prediction performance.