This paper written by Phillip Gray provides a very insightful analysis into the predictability of Australian equities. In the theoretical literature that exists out there, there have been attempts to predict the returns on equity employing diverse methodologies with varying degrees of success. Some of these employed the use of R-squared and t-statistics used with predictive regressions.
This was problematic as statistical indicators can not conclusively point to economic importance of some phenomenon. More in tune with the economic perspective was the attempt to use a strategy to see if it could beat the classic buy and hold returns. When this predictive analysis points to a positive market, investments are switched to fixed income. There is little literature present regarding the predictability of equity returns in Australia.
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