Zhiyuan Pan

Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS)

Chengdu

China

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Forecasting Stock Returns: A Predictor-Constrained Approach

Number of pages: 42 Posted: 18 Oct 2017 Last Revised: 21 Jun 2019
Zhiyuan Pan, Davide Pettenuzzo and Yudong Wang
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS), Brandeis University - International Business School and Shanghai Jiao Tong University (SJTU)
Downloads 166 (182,356)

Abstract:

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Equity premium, Predictive regressions, Predictor constraints, 12-month high, Model combinations