Equity Market Prediction. Evidence from Netherlands

Inhaltsverzeichnis (Table of Contents)

• Introduction
• Literature review and variable motivation
  • Literature review
  • Variable motivation
• Data and summary statistics
  • Data
  • Summary Statistics
• Methodology
  • Predictive regression framework (In-sample)
  • Out-of-sample methodology
    • Econometric specification
    • Forecast evaluation
• Empirical Analysis
  • In-sample return prediction
    • Univariate regression results
      • General analysis
      • Regression results with market valuation variables
      • Regression results with trend variables
      • Regression results with the sentiment variable
      • Regression results with macro variables
    • Multivariate regression results
      • Bivariate regression results with market valuation variables
      • Bivariate regression results with trend variables
      • Bivariate regression results with sentiment variables
      • Bivariate regression results with macro variables
  • Out-of-sample return prediction
• Conclusion

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This thesis explores the predictability of the Dutch equity market by examining various predictors categorized as market valuation, trend, sentiment, and macroeconomic factors. The study aims to contribute to the international debate on stock return predictability.

• Predictability of the Dutch equity market
• Analysis of various predictors for stock return
• Categorization of predictors into market valuation, trend, sentiment, and macroeconomic factors
• Assessment of the predictive power of individual and combined predictors
• Contribution to the international debate on stock return predictability

Zusammenfassung der Kapitel (Chapter Summaries)

• Introduction: This chapter introduces the topic of equity market predictability and highlights the importance of the study in contributing to the existing literature. It outlines the research questions and the overall structure of the thesis.
• Literature review and variable motivation: This chapter provides a comprehensive review of the existing literature on stock return predictability. It discusses various predictors and their historical relevance in explaining stock market behavior. The chapter also motivates the selection of variables used in the study, outlining their theoretical underpinnings and potential predictive power.
• Data and summary statistics: This chapter describes the data used in the analysis, including the sources, time period, and specific variables employed. It provides a detailed overview of the data characteristics and presents summary statistics for each variable.
• Methodology: This chapter outlines the methodological framework used for analyzing the data. It discusses the predictive regression framework, both in-sample and out-of-sample, explaining the econometric specifications and forecast evaluation techniques utilized.
• Empirical Analysis: This chapter presents the results of the empirical analysis, focusing on both in-sample and out-of-sample return prediction. It examines the predictive power of individual and combined variables across different forecasting horizons, highlighting key findings and insights.

Schlüsselwörter (Keywords)

The core focus of this thesis lies in exploring the predictability of the Dutch equity market. It examines various predictors, categorized into market valuation, trend, sentiment, and macroeconomic factors, in order to gain insights into the factors that drive stock returns. The study utilizes both in-sample and out-of-sample methodologies to assess the predictive power of these variables, ultimately contributing to the ongoing debate on stock return predictability. Key terms include: equity market prediction, stock return predictability, market valuation, trend, sentiment, macroeconomic factors, in-sample analysis, out-of-sample analysis, Netherlands.