The “out-of-sample” performance of long run risk models

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931–2009. The long-run risk models perform relatively well on the momentum effect.

MoreLess

Year of publication:	2013
Authors:	Ferson, Wayne ; Nallareddy, Suresh ; Xie, Biqin
Published in:	Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 107.2013, 3, p. 537-556
Publisher:	Elsevier
Subject:	Long-run risk models \| Out-of-sample

More details

Type of publication:	Article
Classification:	G12 - Asset Pricing ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039251