The Review of Financial Smdies /v 12 n 2 1999 Table 4 Testing-sample(6/90-5/95)performance of prediction models selected by several formal statistical criteria Country SSC RMS In Out Out In Out Australia (7.29) (4.40) R 019 .001 -0.08 7.18 4.50 AIC ,017 000 0.39 7.20 4.45 BIC 7.29 4.40 FIC -.005 .017 -1.36 7.27 4.43 PIC -.005 018 -1.91 7.25 4.44 PLS .003 001 -0.66 7.40 4.41 PLS-MDC 003 .016 1.44 7.40 4.39 Belgium (4.87) (4.28) R 107 005 0.35 4.53 451 AIC 106 .006 0.27 4.54 4.49 BIC 089 000 0.53 4.60 4.70 FIC 023 429 PIC 000 48 4.70 PLS 4.82 4.30 PLS-MDC .089 86 0. 4.85 4.70 Canada (5.36 3.27) R 004 -0.20 5.19 39 AIC .002 BIC FIC 0.08 PIC .002 0.11 55 PLS -0.79 PLS-MDC .001 032 -0.88 France 6.42) (5.41) 047 013 -135 6.17 5.55 AIC 047 011 -1.54 6.19 5.53 BIC 024 .058 6.32 5.27 FIC 022 8 -0.52 -0.18 6.31 PIC 016 072 44 .38 .22 PLS .024 .058 -0.46 6.49 .27 PLS-MDC 004 005 -0.82 6.51 539 Germany (5.13) (5.65) R 015 .000 -1.06 5.04 5.76 AIC 012 001 -1.14 5.07 5.73 BIC 5.13 5.65 FIC .005 006 -0.38 5. 5.60 PIC 000 .001 -0.98 5.08 5.64 PLS 006 022 0.02 5.21 5.58 PLS-MDC 001 003 -1.55 5.26 5.66 Italy (6.96) (7.40) R 051 017 0.91 6.72 7.32 AIC .049 022 0.82 6.75 7.27 BIC .049 022 0.65 6.75 7.27 FIC .045 032 1.31 7.23 PIC .045 032 1.25 7.23 PLS .049 .022 0.83 7.03 7.27 PLS-MDC 048 026 0.70 7.09 7.27 Japan (4.59) (7.20) R I24 018 -0.01 4.19 7.26 AIC 123 .020 0.28 4.21 7.24 BIC 083 062 1.41 4.35 7.19 FIC .036 .020 -2.40 4.43 7.51 PIC 036 .020 -2.37 4.43 7.51 PLS .040 .002 -0.81 4.60 7.30 PLS-MDC .002 .068 -3.08 4.67 7.42 418