ABSTRACT
In this article, we assess the informational content of monthly lagged US excess stock returns for sign and mean predictability of stock market returns in 10 industrialized countries using the directional accuracy and excess profitability tests of Pesaran and Timmermann (1992) and Anatolyev and Gerko (2005), respectively. We find only a limited evidence supporting the earlier findings of Rapach et al. (2013) based on the test of Clark and West (2007).
Acknowledgements
Computations were produced using the R language (http://cran.r-project.org/). We are grateful to Dave Rapach for providing the data and code on his website allowing us to replicate the results of Rapach, Strauss, and Zhou (Citation2013). The usual disclaimer applies.
Disclosure statement
No potential conflict of interest was reported by the author.