Shynkevich, Andrei - In: Journal of Empirical Finance 19 (2012) 5, pp. 675-685
period of four decades and employs over 12,000 trading rules to investigate the short-term predictability of portfolio … strategies since returns on value portfolios exhibit more predictability than returns on growth portfolios and returns on … decimalization on the exchanges are the most likely reasons behind the lack of predictability. …