Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10009745642
Persistent link: https://www.econbiz.de/10010370827
Persistent link: https://www.econbiz.de/10003859991
Persistent link: https://www.econbiz.de/10003580221
Persistent link: https://www.econbiz.de/10012244743
We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike...
Persistent link: https://www.econbiz.de/10013094984