Maximizing Predictability in the Stock And Bond Markets
Maximizing Predictability in the Stock And Bond Markets
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In our eReader you can find the full English version of the book. Read Maximizing Predictability in the Stock And Bond Markets Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book Maximizing Predictability in the Stock And Bond Markets
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In Section 4, we apply these results to monthly stock and bond data from 1947 to 1993, and estimate the MPP for three distinct asset groups: a five-asset group of stocks, bonds, and utilities; an eleven-asset group of sector portfolios; and a ten-asset group of size-sorted portfolios. To correct for the obvious biases imparted by maximizing predictability, we report Monte Carlo results for the statistical inference of the maximal i? 2, s reported in Section 5. To gauge the economic significance... of the MPP, in Section 6 we present three out-of-sample measures of the portfolio's predictability, measures that are not subject to the most obvious kinds of data-snooping biases associated with maximizing predictability. We conclude in Section 7.
2 Motivation An increasingly popular approach to investigating predictability in asset returns is to follow a two-step procedure: (1) construct a linear factor model of returns based on cross-sectional explanatory power, e. G. , factor analysis, principal components decomposition, etc.
What to read after Maximizing Predictability in the Stock And Bond Markets?
You can find similar books in the "Read Also" column, or choose other free books by Andrew W Andrew Wen Chuan Lo to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
In Section 4, we apply these results to monthly stock and bond data from 1947 to 1993, and estimate the MPP for three distinct asset groups: a five-asset group of stocks, bonds, and utilities; an eleven-asset group of sector portfolios; and a ten-asset group of size-sorted portfolios. To correct for the obvious biases imparted by maximizing predictability, we report Monte Carlo results for the statistical inference of the maximal i? 2, s reported in Section 5. To gauge the economic significance... of the MPP, in Section 6 we present three out-of-sample measures of the portfolio's predictability, measures that are not subject to the most obvious kinds of data-snooping biases associated with maximizing predictability. We conclude in Section 7.
2 Motivation An increasingly popular approach to investigating predictability in asset returns is to follow a two-step procedure: (1) construct a linear factor model of returns based on cross-sectional explanatory power, e. G. , factor analysis, principal components decomposition, etc.
What to read after Maximizing Predictability in the Stock And Bond Markets?
You can find similar books in the "Read Also" column, or choose other free books by Andrew W Andrew Wen Chuan Lo to read onlineMoreLess
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