Showing 1 - 10 of 6,096
Persistent link: https://www.econbiz.de/10011520867
Do expected asset returns vary through time? Why do some assets exhibit higher average returns than others? How can factors that drive expected returns in the time series be linked to factors that explain the cross-sectional dispersion in average returns? How do these findings affect...
Persistent link: https://www.econbiz.de/10011432379
Persistent link: https://www.econbiz.de/10014430235
Persistent link: https://www.econbiz.de/10014426797
Persistent link: https://www.econbiz.de/10003826365
Persistent link: https://www.econbiz.de/10012000721
We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential predictors. Such gains in forecast accuracy translate into economically significant improvements in certainty equivalent returns and Sharpe ratios for a mean-variance investor....
Persistent link: https://www.econbiz.de/10012418356
Persistent link: https://www.econbiz.de/10012692685
Persistent link: https://www.econbiz.de/10013349908
Persistent link: https://www.econbiz.de/10014477804