MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS by Andrew
نویسندگان
چکیده
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including size-sorted and industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across sectors and size classes as the return-horizon changes. Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant.
منابع مشابه
IMF Staff Papers Vol. 48 No. 3, 2001
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