Portfolio Turbulence and the Predictability of Stock Returns

back to overview


Stöckl, S. (2015). Portfolio Turbulence and the Predictability of Stock Returns. University of Liechtenstein.

Publication type

Working Paper


This paper investigates the predictive power of portfolio turbulence for future market and portfolio (excess) returns. Results are related to return dispersion and the realized stock market variance, two other well-documented predictive variables. We find portfolio turbulence to have the higher predictive power for long-term forecasts of market (excess) returns in-sample as well as out-ofsample. Portfolio turbulence also has out-of-sample predictive power for longterm portfolio (excess) returns for value and large cap stocks, as well as for past losers.


Organizational Units

  • Chair in Finance