A Reexamination of Time-Varying Stock Return Predictability

2019

Master's thesis Business Administration BE501 - University of Agder 2019 In predicting stock market returns, academic research has had its primary focus onmacroeconomic variables, and less attention has been paid towards technical indicators.The evidence of the stock return predictability is either absent or weak, and there arecases of contradicting evidence in the literature whether stock returns even are predictable.Over the last ten years, several papers find evidence that stock return predictability existsduring the bad economic states. These papers have used different approaches, whereasmost of them have been using NBER chronology of expansions and recessions, or investorsentiment inde…