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

Table 5

Portfolio performance of mixed models evaluated by CER gains.

	CDA&CT	CT&IQR	CDA&IQR
DP	0.480	−0.956	0.470
DY	−0.190	−1.074	−0.080
EP	0.411	0.665	0.316
DE	0.234	0.106	0.409
SVAR	0.194	0.216	0.472
BM	−0.638	−1.371	−0.534
NTIS	0.454	0.919	0.874
TBL	1.846	1.737	2.159
LTY	2.932	1.201	3.379
LTR	1.376	0.878	1.675
TMS	0.526	1.975	0.870
DFY	0.019	−0.053	0.327
DFR	0.076	0.808	0.347
INFL	0.165	0.562	0.470