From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Stock market returns: \(R_{\text {oos}}^{2}\) in % | ||||
Predictor | h=1 | h=3 | h=6 | h=12 |
GVD25 | – 0.43 | – 1.35 | – 1.73 | – 1.83 |
GVD75 | – 0.08 | – 0.49 | 0.03 | – 2.40 |
Bond market returns: \(R_{\text {oos}}^{2}\) in % | ||||
Predictor | h=1 | h=3 | h=6 | h=12 |
GVD25 | 0.27 | – 0.81 | – 1.38 | – 3.39 |
GVD75 | – 0.27 | – 1.18* | – 3.67 | – 10.17* |