Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis

Giulia Dal Pra; Massimo Guidolin; Manuela Pedio; Fabiola Vasile

doi:10.3905/jpm.2018.2018.1.077

Article

Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis

Giulia Dal Pra, Massimo Guidolin, Manuela Pedio and Fabiola Vasile

The Journal of Portfolio Management Winter 2018, 44 (3) 10-24; DOI: https://doi.org/10.3905/jpm.2018.2018.1.077

Giulia Dal Pra

is with Bocconi University in Milan, Italy

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Massimo Guidolin

is with Bocconi University and BAFFI-CAREFIN Centre in Milan, Italy

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Manuela Pedio

is with Bocconi University and BAFFI-CAREFIN Centre in Milan, Italy

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Fabiola Vasile

is with Euromobiliare SGR in Milan, Italy

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Vol. 44, Issue 3

Winter 2018

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Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis