@article {Harasty33, author = {H{\'e}l{\`e}ne Harasty and Jacques Roulet}, title = {Modeling Stock Market Returns}, volume = {26}, number = {2}, pages = {33--46}, year = {2000}, doi = {10.3905/jpm.2000.319747}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, the authors develop a two{\textendash}step econometric model to explain and forecast stock market movements in seventeen countries. Their key assumption is that while a theory such as the dividend discount model is relevant to explain the long{\textendash}run behavior of stock markets, short{\textendash}run fluctuations are driven by variables that do not enter into the theory of cointegration and error correction for developing the two{\textendash}step model for long{\textendash}term behavior and short{\textendash}term behavior. They present in{\textendash} and out{\textendash}of a sample tests of the model{\textquoteright}s ability to forecast future stock market results. These results indicate that such a model does have predictive power and can thus be a useful tool in the investment decision process.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/26/2/33}, eprint = {https://jpm.pm-research.com/content/26/2/33.full.pdf}, journal = {The Journal of Portfolio Management} }