haku: @indexterm Regression analysis / yhteensä: 420
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| Tekijä: | Beller, K. R. Kling, J. L. Levinson, M. L. |
| Otsikko: | Are industry stock returns predictable ? |
| Lehti: | Financial Analysts' Journal
1998 : SEP/OCT, VOL. 54:5, p. 42-57 |
| Asiasana: | Earnings Forecasting Industries Regression analysis Portfolio management USA |
| Kieli: | eng |
| Tiivistelmä: | There is in-sample and out-of-sample predictability of equal-weighted and capitalization-weighted quarterly excess returns for 55 industries over the period from 1973 to 1995 period investigated. The in-sample analysis supported predictability for about 80 % of the cap-weighted industries and about 90 % of the equal-weighted industries. The out-of-sample analysis provided strong evidence that the forecasting models for industry returns combined with mean-variance optimization criteria are useful for portfolio selection. |
SCIMA