Forecasting Stock Price Changes: Is it Possible?

31 Pages Posted: 17 Jul 2006  

Pedro N. Rodriguez

Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II

Simon Sosvilla-Rivero

Complutense Institute for International Studies

Date Written: June 2006

Abstract

We examine the relation between monthly stock returns and lagged publicly available information. Our primary objective is to determine whether the variables proposed in the literature to predict the equity premium contain incremental information to an investor. We find that certain variables do provide incremental information and may have some practical value. Although this not necessarily imply that return-forecasting models may be used to predict future stock returns, some model specifications may be used to predict future stock movements.

Keywords: Stock return predictability, stock movement predictability

JEL Classification: G12, G14

Suggested Citation

Rodriguez, Pedro N. and Sosvilla-Rivero, Simon, Forecasting Stock Price Changes: Is it Possible? (June 2006). Available at SSRN: https://ssrn.com/abstract=917051 or http://dx.doi.org/10.2139/ssrn.917051

Pedro N. Rodriguez

Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II ( email )

Carretera de Humera s/n
Madrid 28223, Madrid 28223
Spain

HOME PAGE: http://www.pnrodriguez.com

Simon Sosvilla-Rivero (Contact Author)

Complutense Institute for International Studies ( email )

Carretera de Humera s/n
Madrid, Madrid 28223
Spain
+34913932626 (Phone)

HOME PAGE: http://www.ucm.es/info/ecocuan/ssr/

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