National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71771030, 11301041]; National Social Science Foundation of China [19BJL120]; Scientific Research Fund of Hunan Provincial Education DepartmentHunan Provincial Education Department [19A007]
机构署名：
本校为第一且通讯机构
院系归属：
数学与统计学院
摘要：
The goal of our paper is to improve the accuracy of stock return forecasts by combining new technical indicators and a new two-step economic constraint forecasting model. Empirical results indicate the stock return forecasts generated by new technical indicators and new economic constraint forecasting model is statistically and economically significant both in-sample and out-of-sample prediction performance. In addition, the prediction performance of new technical indicators and new economic constraint forecasting...
