Automatic model selection for forecasting Brazilian stock returns

Detalhes bibliográficos
Autor(a) principal: Cunha, Ronan
Data de Publicação: 2015
Outros Autores: Pereira, Pedro L. Valls
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/13881
Resumo: This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We find that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.
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spelling Cunha, RonanPereira, Pedro L. VallsEscolas::EESP2015-08-07T16:47:40Z2015-08-07T16:47:40Z2015-08-07TD 398http://hdl.handle.net/10438/13881This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We find that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.engEESP - Textos para Discussão;TD 398ForecastingModel selectionAutometricsStock returnsMarket premiumEconomiaPrevisão econômicaAções (Finanças) - BrasilMercado financeiroAutomatic model selection for forecasting Brazilian stock returnsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 398 - CEQEF 25 - Ronan Cunha e Pedro L. Valls Pereira.pdfTD 398 - CEQEF 25 - Ronan Cunha e Pedro L. 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dc.title.eng.fl_str_mv Automatic model selection for forecasting Brazilian stock returns
title Automatic model selection for forecasting Brazilian stock returns
spellingShingle Automatic model selection for forecasting Brazilian stock returns
Cunha, Ronan
Forecasting
Model selection
Autometrics
Stock returns
Market premium
Economia
Previsão econômica
Ações (Finanças) - Brasil
Mercado financeiro
title_short Automatic model selection for forecasting Brazilian stock returns
title_full Automatic model selection for forecasting Brazilian stock returns
title_fullStr Automatic model selection for forecasting Brazilian stock returns
title_full_unstemmed Automatic model selection for forecasting Brazilian stock returns
title_sort Automatic model selection for forecasting Brazilian stock returns
author Cunha, Ronan
author_facet Cunha, Ronan
Pereira, Pedro L. Valls
author_role author
author2 Pereira, Pedro L. Valls
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Cunha, Ronan
Pereira, Pedro L. Valls
dc.subject.por.fl_str_mv Forecasting
Model selection
Autometrics
Stock returns
Market premium
topic Forecasting
Model selection
Autometrics
Stock returns
Market premium
Economia
Previsão econômica
Ações (Finanças) - Brasil
Mercado financeiro
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Previsão econômica
Ações (Finanças) - Brasil
Mercado financeiro
description This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We find that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.
publishDate 2015
dc.date.accessioned.fl_str_mv 2015-08-07T16:47:40Z
dc.date.available.fl_str_mv 2015-08-07T16:47:40Z
dc.date.issued.fl_str_mv 2015-08-07
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/13881
dc.identifier.sici.none.fl_str_mv TD 398
identifier_str_mv TD 398
url http://hdl.handle.net/10438/13881
dc.language.iso.fl_str_mv eng
language eng
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