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However, sophisticated models improve dramatically once we combine them with the historical average and take parameter instability into account. An equal weighted combination of the historical average with the standard multivariate predictive regression estimated using the average windows method, for example, achieves a statistically significant monthly out\u2010of\u2010sample<jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"graphic\/jae2747-math-0001.png\" xlink:title=\"urn:x-wiley:jae:media:jae2747:jae2747-math-0001\"\/>of 1.10% and annual utility gains of 2.34%. We obtain similar gains for predicting future macroeconomic conditions.<\/jats:p>","DOI":"10.1002\/jae.2747","type":"journal-article","created":{"date-parts":[[2019,12,17]],"date-time":"2019-12-17T15:27:19Z","timestamp":1576596439000},"page":"629-644","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":33,"title":["Forecasting stock returns with model uncertainty and parameter instability"],"prefix":"10.1002","volume":"35","author":[{"given":"Hongwei","family":"Zhang","sequence":"first","affiliation":[{"name":"School of Finance Central University of Finance and Economics Beijing China"},{"name":"TIAS School for Business and Society Tilburg University Tilburg Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Qiang","family":"He","sequence":"additional","affiliation":[{"name":"School of Finance Central University of Finance and Economics Beijing China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ben","family":"Jacobsen","sequence":"additional","affiliation":[{"name":"TIAS School for Business and Society Tilburg University Tilburg Netherlands"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Fuwei","family":"Jiang","sequence":"additional","affiliation":[{"name":"School of Finance Central University of Finance and Economics Beijing China"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2020,1,14]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1086\/250059"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhm055"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.023"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1561\/0500000001"},{"key":"e_1_2_10_7_1","doi-asserted-by":"crossref","unstructured":"D'Hondt C. 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