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Forecasting stock prices using a hierarchical Bayesian approach

✍ Scribed by Jun Ying; Lynn Kuo; Gim S. Seow

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
527 KB
Volume
24
Category
Article
ISSN
0277-6693

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✦ Synopsis

The Ohlson model is evaluated using quarterly data from stocks in the Dow Jones Index. A hierarchical Bayesian approach is developed to simultaneously estimate the unknown coefficients in the time series regression model for each company by pooling information across firms. Both estimation and prediction are carried out by the Markov chain Monte Carlo (MCMC) method. Our empirical results show that our forecast based on the hierarchical Bayes method is generally adequate for future prediction, and improves upon the classical method.

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