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

Table 4

Forecasting performance of mixed existing models evaluated by .

	CDA&CT	CT&IQR	CDA&IQR
DP	0.439	0.821	1.011
DY	0.329	0.779	1.004
EP	0.428	0.126	0.839
DE	−0.377	−0.446	0.012
SVAR	0.073	0.857	0.892
BM	−0.042	−0.319	0.614
NTIS	−0.488	0.314	0.433
TBL	0.242	1.027	1.066
LTY	1.461	1.013	2.384
LTR	0.767	0.203	1.411
TMS	−0.153	0.990	0.581
DFY	−0.118	0.634	0.680
DFR	−0.295	0.327	0.487
INFL	−0.309	0.747	0.482
Average	0.140	0.505	0.850