Forecasting Stock Returns in Good and Bad Times: The Role of Market States
“The out-of-sample R-squares are 0.96% and 1.72% in good and bad times, or 1.28% and 1.41% in NBER economic expansions and recessions, respectively.”
AssetEquitiessingle stocks
StrategyMomentummachine learning
GeographyGlobalUS
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodMomentum and trend following by year
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