From: What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets
Panel A: stock market returns (\(R_{oos}^{2}\) in %) | ||||
Predictor | h=1 | h=3 | h=6 | h=12 |
dp | – 1.54 | – 7.71 | 3.84 | 39.94* |
dy | 0.26 | – 3.80 | 11.39** | 42.97* |
ep | – 12.97 | – 51.18 | – 110.92 | – 125.23 |
de | – 23.58 | – 117.28 | – 281.21 | – 221.84 |
svar | 1.48 | 0.09 | – 86.73 | – 60.78 |
ntis | – 4.51 | – 17.89 | – 48.71* | – 91.04* |
ts | – 1.90 | – 5.84 | – 6.79 | 5.11 |
ds | – 10.95 | – 82.37 | – 313.15 | 237.55 |
Panel B: bond market returns (\(R_{\text {oos}}^{2}\) in %) | ||||
predictor | h=1 | h=3 | h=6 | h=12 |
dp | – 2.23 | – 9.52 | – 6.33 | – 12.03 |
dy | – 2.01 | – 6.55 | – 4.47 | – 16.25 |
ep | – 3.00 | – 6.68 | – 11.86 | – 26.72 |
de | – 11.00 | – 50.34 | – 111.20 | – 203.60 |
svar | 2.12 | – 15.41 | – 27.75 | – 4.92 |
ntis | – 0.83 | – 2.77 | – 8.27 | – 28.26** |
ts | 4.20** | 13.26** | 25.37** | 34.93** |
ds | – 0.17 | – 66.00 | – 128.17 | – 81.62 |