期刊论文

Dai, Zhifeng

英文

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

1062-9408

2020

53

101216

10.1016/j.najef.2020.101216

This work was supported by the National Natural Science Foundation of China granted [71771030, 11301041], National Social Science Foundation of China granted [19BJL120], Scientific Research Fund of Hunan Provincial Education Department [grant number 19A007]. This work was supported by the National Natural Science Foundation of China granted [ 71771030 , 11301041 ], National Social Science Foundation of China granted [ 19BJL120 ], Scientific Research Fund of Hunan Provincial Education Department [grant number 19A007 ].

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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 model is ro...