On the Predictability of Stock Returns in Real Time

Posted: 21 Jun 2002

See all articles by Michael J. Cooper

Michael J. Cooper

University of Utah - David Eccles School of Business

Roberto C. Gutierrez

University of Oregon

Bill Marcum

School of Business

Multiple version iconThere are 2 versions of this paper

Abstract

Researchers have documented an abundance of evidence that stock returns are predictable ex post. We address in this study whether the cross section of stock returns is predictable ex ante. We ask if a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to forecast stock returns during the 1974 to 1997 period. Using a recursive out-of-sample method, we find that the market was difficult to beat in real time. Our findings suggest that the current notion of predictaility in the literature is exaggerated.

Note: Previously Titled: Is Predictability Simply Hindsight?

JEL Classification: G11, G12

Suggested Citation

Cooper, Michael J. and Gutierrez, Roberto C. and Marcum, Bill M., On the Predictability of Stock Returns in Real Time. Available at SSRN: https://ssrn.com/abstract=299604

Michael J. Cooper

University of Utah - David Eccles School of Business ( email )

1645 E Campus Center Dr
Salt Lake City, UT 84112-9303
United States

Roberto C. Gutierrez (Contact Author)

University of Oregon ( email )

Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403
United States
541-346-3254 (Phone)
541-346-3341 (Fax)

Bill M. Marcum

School of Business ( email )

P.O. Box 7659
Winston-Salem, NC 27109-7285
United States

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