Tid: 26 maj 2011 kl 10.15-11.00. (Observera dagen och tiden)

Föredragshållare: Fredrik Hallgren

Titel: On Prediction and Filtering of Stock Index Returns (Examensarbete - Master thesis)

Abstract The predictability of asset returns is a much debated and investigated subject in academia as well as in the financial services industry. In this thesis we study the predictability of the returns of European stock indices, using time series and regression based forecasting methods, as well as filtering techniques, specically the Hodrick-Prescott filter. In disagreement with the Efficient Market Hypothesis, which claims that asset prices incorporate all information embedded in historical prices, indications of predictability based on historical returns are found. Predictability was further improved by filtering the data before applying the forecasting methods.

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