The Economic Value of Predicting Stock Index Returns and Volatility

Keyphrases

• Volatility 100%
• Economic Value 100%
• Stock Index Returns 100%
• Transaction Costs 16%
• Number of Alternatives 16%
• S&P 500 16%
• Monthly Data 16%
• Mean-variance 16%
• Index Returns 16%
• Trading Strategy 16%
• Return Time 16%
• Short Selling 16%
• Joint Test 16%
• Market Timing 16%
• Volatility Timing 16%
• Out-of-sample Forecasting 16%
• Statistical Significance 16%
• Simple Linear Model 16%

Economics, Econometrics and Finance

• Volatility 100%
• Stock Index 100%
• Investors 14%
• Transaction Costs 14%