Automatic model selection for forecasting Brazilian stock returns
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | |
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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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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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 |
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http://hdl.handle.net/10438/13881 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.por.fl_str_mv |
EESP - Textos para Discussão;TD 398 |
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info:eu-repo/semantics/openAccess |
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openAccess |
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