Predicting Stock Return with Economic Constraint: Can Interquartile Range Truncate the Outliers?

Table 2

Forecasting performance of existing models evaluated by .

	Original	CT	CDA	IQR
DP	−0.074	0.094	0.351	0.653
DY	−0.389	0.088	0.301	0.252
EP	−1.463	−0.580	0.150	−0.793
DE	−1.458	−1.210	−0.686	−0.694
SVAR	0.154	0.076	0.123	0.836
BM	−1.467	−1.000	−0.068	−0.800
NTIS	−0.633	−0.632	−0.492	0.313
TBL	0.067	0.249	0.277	0.844
LTY	−0.677	0.267	1.689	0.069
LTR	−0.761	−0.641	0.646	0.083
TMS	0.103	0.098	−0.241	0.994
DFY	−0.169	−0.169	−0.118	0.634
DFR	−0.205	−0.409	−0.305	0.530
INFL	−0.060	−0.040	−0.309	0.727
Average	−0.502	−0.272	0.094	0.261