Predictive systems: Living with imperfect predictors
We develop a framework for estimating expected returns—a predictive system—that allows
predictors to be imperfectly correlated with the conditional expected return. When predictors …
predictors to be imperfectly correlated with the conditional expected return. When predictors …
Are stocks really less volatile in the long run?
According to conventional wisdom, annualized volatility of stock returns is lower over long
horizons than over short horizons, due to mean reversion induced by return predictability. In …
horizons than over short horizons, due to mean reversion induced by return predictability. In …
International stock return predictability under model uncertainty
A Schrimpf - Journal of International Money and Finance, 2010 - Elsevier
This paper examines return predictability when the investor is uncertain about the right state
variables. A novel feature of the model averaging approach used in this paper is to account …
variables. A novel feature of the model averaging approach used in this paper is to account …
Are stocks really less volatile in the long run?
According to conventional wisdom, annualized volatility of stock returns is lower over long
horizons than over short horizons, due to mean reversion induced by return predictability. In …
horizons than over short horizons, due to mean reversion induced by return predictability. In …
Bayesian Applications to the Investment Management Process
B Bagasheva, SZ Rachev, J Hsu, F Fabozzi - Handbook on Information …, 2008 - Springer
There are several tasks in the investment management process. These include setting the
investment objectives, establishing an investment policy, selecting a portfolio strategy, asset …
investment objectives, establishing an investment policy, selecting a portfolio strategy, asset …
[PDF][PDF] International return predictability and the term structure of risk
J Pénasse - Citeseer
This paper explores return predictability within a panel VAR setup. Using quarterly data from
1971 to 2013, I show that stock and bond are actually predictable in 10 countries with well …
1971 to 2013, I show that stock and bond are actually predictable in 10 countries with well …