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

Table 9

Out-of-sample forecast results (1982 : 01–2018 : 12).

		Existing model			Mixed model
Predictor	Original	CT	CDA	IQR	CDA&CT	CT&IQR	CDA&IQR
DP	−1.030	−0.726	−0.309	0.283	−0.231	0.587	0.883
DY	−1.552	−0.828	−0.435	−0.394	−0.396	0.422	0.835
EP	−1.195	0.109	−0.416	0.015	0.096	1.384	0.828
DE	−0.526	−0.078	−0.237	0.855	0.322	1.303	1.025
SVAR	0.345	0.204	0.273	1.577	0.183	1.615	1.663
BM	−1.895	−1.023	−0.390	−0.688	−0.343	0.207	0.844
NTIS	−1.282	−1.281	−1.367	0.428	−1.367	0.429	0.306
TBL	−0.582	−0.483	−0.106	0.823	−0.102	0.923	1.321
LTY	−0.787	−0.374	1.503	0.562	1.119	0.975	2.758
LTR	0.146	0.098	1.114	1.671	1.095	1.623	2.495
TMS	−0.413	−0.413	0.190	1.198	0.190	1.198	1.675
DFY	−0.115	−0.115	−0.062	1.335	−0.062	1.335	1.380
DFR	0.270	−0.103	−0.260	1.599	−0.242	1.226	1.171
INFL	−0.368	−0.368	−0.293	1.054	−0.293	1.054	1.137