Equity Market Prediction. Evidence from the United Kingdom

Inhaltsverzeichnis (Table of Contents)

• Introduction
• Literature Review
  • The History of Research on Equity Market Prediction
  • The Debate about Equity Market Prediction
  • Findings with New Variables in More Recent Research
  • Literature Regarding the UK Market
• Data and Summary Statistics
  • Data Source and Data Construction
  • Summary Statistics
• In-sample Return Predictions
  • Predictive Regression Model
  • Predictive Regression Results
    • Univariate Regression Results
    • Multivariate Regression Results
• Out-of-sample Return Forecasts
  • Empirical Procedure
  • Forecast Evaluation
  • Out-of-sample Forecasting Performance
• Summary and Conclusion

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This bachelor thesis investigates the predictability of the UK equity market using a range of economic and financial variables. The primary objective is to assess the effectiveness of different forecasting models in predicting future market returns both in-sample and out-of-sample.

• The history and evolution of equity market prediction research
• The debate surrounding the efficiency of financial markets and the possibility of predicting returns
• The impact of new variables and recent research findings on equity market prediction
• The application of forecasting models to the UK market
• The evaluation of in-sample and out-of-sample forecasting performance

Zusammenfassung der Kapitel (Chapter Summaries)

The introductory chapter sets the stage for the thesis by presenting a brief overview of the topic and outlining the research questions. The second chapter provides a comprehensive literature review, exploring the historical development of equity market prediction research, the ongoing debate about market efficiency, and recent findings using new variables. It also delves into existing literature specifically focused on the UK market.

Chapter three focuses on the data used in the study, detailing the data sources and the construction of the data set. It also presents descriptive statistics summarizing the key variables.

Chapter four explores the in-sample return predictions using a predictive regression model. It examines both univariate and multivariate regression results, providing insights into the explanatory power of different variables.

Chapter five focuses on out-of-sample return forecasts, outlining the empirical procedure used for the forecasting exercise. It evaluates the forecasting performance of the models based on various metrics.

Schlüsselwörter (Keywords)

Equity market prediction, financial markets, market efficiency, forecasting models, regression analysis, UK market, in-sample prediction, out-of-sample forecast, economic variables, financial variables, forecasting performance, return predictability.