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Forecasting stock market returns by summing the frequency-decomposed parts

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dc.contributor.authorFaria, Gonçalo
dc.contributor.authorVerona, Fabio
dc.date.accessioned2018-06-28T16:26:42Z
dc.date.available2018-06-28T16:26:42Z
dc.date.issued2018
dc.description.abstractWe generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method significantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures different frequencies of stock market returns.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationFaria, G., Verona, F. (2018). Forecasting stock market returns by summing the frequency-decomposed parts. Journal of Empirical Finance, 45, 228-242pt_PT
dc.identifier.doi10.1016/j.jempfin.2017.11.009pt_PT
dc.identifier.eid85037997835
dc.identifier.eissn1879-1727
dc.identifier.issn0927-5398
dc.identifier.urihttp://hdl.handle.net/10400.14/25135
dc.identifier.wos000426407900014
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherElsevierpt_PT
dc.relationUID/GES/00731/2016
dc.subjectPredictabilitypt_PT
dc.subjectStock returnspt_PT
dc.subjectEquity premiumpt_PT
dc.subjectAsset allocationpt_PT
dc.subjectFrequency domainpt_PT
dc.subjectWaveletspt_PT
dc.titleForecasting stock market returns by summing the frequency-decomposed partspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage242pt_PT
oaire.citation.startPage228pt_PT
oaire.citation.titleJournal of Empirical Financept_PT
oaire.citation.volume45pt_PT
person.familyNameFaria
person.familyNameVerona
person.givenNameGonçalo
person.givenNameFabio
person.identifier.ciencia-id791C-7F57-A73C
person.identifier.orcid0000-0002-4888-8833
person.identifier.orcid0000-0003-2722-8462
person.identifier.scopus-author-id55192551100
person.identifier.scopus-author-id55668022000
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication30cdcc4f-e130-4d71-b54b-b8de6b64b811
relation.isAuthorOfPublication0386442c-7281-4d88-ba2b-03b3927cf91f
relation.isAuthorOfPublication.latestForDiscovery30cdcc4f-e130-4d71-b54b-b8de6b64b811

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