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

Table 3

Portfolio performance of existing models evaluated by CER gains.

	Original	CT	CDA	IQR
DP	−1.711	−1.127	0.406	−1.541
DY	−1.973	−1.141	−0.209	−1.963
EP	0.417	0.537	0.193	0.545
DE	−0.270	−0.207	0.220	0.042
SVAR	−0.202	−0.202	0.194	0.216
BM	−2.182	−1.428	−0.638	−2.136
NTIS	0.530	0.530	0.454	0.919
TBL	1.497	1.479	1.882	1.755
LTY	0.622	0.959	3.220	0.864
LTR	0.591	0.591	1.394	0.878
TMS	1.547	1.555	0.493	1.967
DFY	−0.389	−0.361	0.019	−0.082
DFR	0.634	0.569	0.076	0.874
INFL	0.233	0.272	0.165	0.523