Search Results - subject:"predictability"

Dynamic Trading with Predictable Returns and Transaction Costs

Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009

This paper derives in closed form the optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal updated portfolio is a linear combination of the existing portfolio, the optimal portfolio absent...

Persistent link: https://www.econbiz.de/10004964419

Conditional performance evaluation for German equity mutual funds

Bessler, Wolfgang; Drobetz, Wolfgang; Zimmermann, Heinz - In: The European Journal of Finance 15 (2009) 3, pp. 287-316

We investigate the conditional performance of a sample of German equity mutual funds over the period from 1994 to 2003 using both the beta-pricing approach and the stochastic discount factor (SDF) framework. On average, mutual funds cannot generate excess returns relative to their benchmark that...

Persistent link: https://www.econbiz.de/10004966534

Mispricing and the cross-section of stock returns

Chen, Carl; Lung, Peter; Wang, F. - In: Review of Quantitative Finance and Accounting 32 (2009) 4, pp. 317-349

Persistent link: https://www.econbiz.de/10004999596

Predicting premiums for the market, size, value, and momentum factors

Steiner, Michael - In: Financial Markets and Portfolio Management 23 (2009) 2, pp. 137-155

Persistent link: https://www.econbiz.de/10004999720

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value

Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Centre for Research on Pensions and Welfare Policies … - 2009

Welfare gains to long-horizon investors may derive from time diversification that exploits non-zero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for...

Persistent link: https://www.econbiz.de/10005051747

Predicting the pattern of international trade in the neoclassical model: a synthesis

Bernhofen, Daniel - In: Economic Theory 41 (2009) 1, pp. 5-21

Persistent link: https://www.econbiz.de/10005029207

Learning in Financial Markets

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2009

uncertain and subject to learning. We discuss phenomena related to the volatility and predictability of asset returns, stock …

Persistent link: https://www.econbiz.de/10005661697

The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006

Kanas, Angelos - In: Journal of Economics and Finance 33 (2009) 2, pp. 111-127

Persistent link: https://www.econbiz.de/10005598023

Small caps in international equity portfolios: the effects of variance risk

Guidolin, Massimo; Nicodano, Giovanna - In: Annals of Finance 5 (2009) 1, pp. 15-48

Persistent link: https://www.econbiz.de/10005701382

Predictability in financial markets: What do survey expectations tell us?

Bacchetta, Philippe; Mertens, Elmar; van Wincoop, Eric - In: Journal of International Money and Finance 28 (2009) 3, pp. 406-426

There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a … number of studies have documented that the predictability of excess returns is closely related to the predictability of … expectational errors of excess returns. In this paper we investigate the link between the predictability of excess returns and …

Persistent link: https://www.econbiz.de/10005311596