Automatic model selection for forecasting Brazilian stock returns

• Ano de defesa: 2015
• Autor(a) principal: Cunha, Ronan
• Orientador(a): Pereira, Pedro L. Valls
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Seleção de modelos; Retorno de ações
• Palavras-chave em Inglês: Forecasting; Model selection; Autometrics; Stock returns
• Link de acesso: http://hdl.handle.net/10438/13635

This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We nd that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.