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Combination forecasts of bond and stock returns: An asset allocation perspective

Panopoulou, Ekaterini, Plastira, Sotiria (2012) Combination forecasts of bond and stock returns: An asset allocation perspective. In: 6th Computational and Financial Econometrics Conference, December 2012, Oviedo, Spain. (doi:10.2139/ssrn.2402286) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.2139/ssrn.2402286

Abstract

We investigate the out-of-sample forecasting ability of the HML, SMB, momentum, short-term and long-term reversal factors along with their size and value decompositions on U.S. bond and stock returns for a variety of horizons ranging from the short run (1 month) to the long run (2 years). Our findings suggest that these factors contain significantly more information for future bond and stock market returns than the typically employed financial variables. Combination of forecasts of the empirical factors turns out to be particularly successful, especially from an an asset allocation perspective. Similar findings pertain to the European and Japanese markets.

Item Type: Conference or workshop item (Paper)
DOI/Identification number: 10.2139/ssrn.2402286
Uncontrolled keywords: Combination forecasts, Fama French factors, Stock return predictability, Bond return predictability, Asset allocation
Subjects: H Social Sciences > HG Finance
Divisions: Faculties > Social Sciences > Kent Business School
Depositing User: Ekaterini Panopoulou
Date Deposited: 21 Nov 2014 14:53 UTC
Last Modified: 01 Aug 2019 10:38 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/45219 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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