Publication

This paper uses a recursive modeling approach to study whether investors at the end of the 1990s could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. The authors find substantial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. Additionally, they analyze how monitoring the comovement would have affected the performance of simple trading rules and investor's market-timing skills.