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# Table 10 In-sample predictability of stock and bond market excess returns

From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

Stock market return | ||||||||
---|---|---|---|---|---|---|---|---|

h=1 | h=3 | h=6 | h=12 | |||||

Predictor | \(\hat {\beta }\) | R^{2}(%) | \(\hat {\beta }\) | R^{2}(%) | \(\hat {\beta }\) | R^{2}(%) | \(\hat {\beta }\) | R^{2}(%) |

GVD^{25} | 0.19 | 0.23 | 0.33 | 1.57 | 0.41* | 4.20 | 0.48* | 10.00 |

(0.82) | (1.55) | (2.06) | (2.66) | |||||

GVD^{75} | 0.40* | 1.00 | 0.51** | 3.82 | 0.57** | 8.29 | 0.59** | 14.77 |

(1.56) | (2.40) | (3.28) | (4.02) | |||||

Bond market return | ||||||||

h=1 | h=3 | h=6 | h=12 | |||||

Predictor | \(\hat {\beta }\) | R^{2}(%) | \(\hat {\beta }\) | R^{2}(%) | \(\hat {\beta }\) | R^{2}(%) | \(\hat {\beta }\) | R^{2}(%) |

GVD^{25} | 0.06 | 0.44 | 0.03 | 0.35 | 0.03 | 0.58 | 0.02 | 0.65 |

(0.89) | (0.53) | (0.63) | (0.52) | |||||

GVD^{75} | 0.02 | 0.03 | 0.02 | 0.09 | 0.03 | 0.64 | 0.03 | 0.94 |

(0.28) | (0.29) | (0.63) | (0.60) |