Investigating Predictability of Different "Forms of Return" in Tehran Stock Exchange: Some Rolling Regressions-based Evidence

Document Type : Research Paper

Authors

1 1. Accounting, Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran 2. Accounting, Department of Management, Economic and Accounting, Payame Noor University, Tehran, Iran

2 Accounting, Faculty of Social Sciences and Economics, AL Zahra University, Tehran, Iran

3 Industrial Management/ Faculty of Management, University of Tehran, Tehran, Iran

Abstract

This paper has provided "out of sample" evidence of stock returns predictability in Tehran Stock Exchange. 68 qualified companies over the period from 2002 to 2015 were selected and for five different "forms of returns", five superior predictive models have been designed by applying "General to specific" approach of modeling technique. Then "out of sample" analysis, based on rolling regressions, has been used to test the validation of the designed models. The result showed that all designed models have sufficient "out of sample" validity and the aggregate returns have a higher predictability level.

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References

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Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies)
Volume 11, Issue 4
November 2018
Pages 693-714

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