We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...

This paper develops and tests a simultaneous equations model (SEM) for extending accounting based valuation models used in empirical studies. To calculate the ‘other information' variable in the Ohlson (1995) model, we derive forecasts of operating income from the SEM, rather than using...

This paper analyzes the consequences of the capitalization of development expenditures under IAS 38 on analysts' earnings forecasts. We use unique hand-collected data in a sample of highly research and development (R&D) intensive German listed firms over the period 2000 to 2007. We find that the...