From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Stock market returns: \(R_{oos}^{2}\) in % | ||||
Predictor | h=1 | h=3 | h=6 | h=12 |
GVD | 0.76 | 1.79 | 5.45 | 11.91* |
GVDnew | 0.91 | 0.61 | 1.11 | 0.95 |
GVDold | – 2.98 | – 7.52 | – 12.30 | – 10.42* |
Bond market returns: \(R_{\text {oos}}^{2}\) in % | ||||
Predictor | h=1 | h=3 | h=6 | h=12 |
GVD | – 0.06 | – 0.81 | – 1.10 | – 3.46 |
GVDnew | – 0.14 | – 1.08 | – 1.23 | – 2.02 |
GVDold | 2.45** | 0.90 | – 1.31 | – 1.68 |