Automatic model selection for forecasting Brazilian stock returns

• Autor(a) principal: Cunha, Ronan
• Data de Publicação: 2015
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/13635
• topic: Forecasting; Model selection; Autometrics; Stock returns; Seleção de modelos; Retorno de ações; Economia; Ações (Finanças); Mercado financeiro - Brasil; Previsão; Algoritmos

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 nd 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.