Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10000842334
Persistent link: https://www.econbiz.de/10010399441
Persistent link: https://www.econbiz.de/10011590910
Persistent link: https://www.econbiz.de/10012543228
Persistent link: https://www.econbiz.de/10012796524
Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While...
Persistent link: https://www.econbiz.de/10012852463
Persistent link: https://www.econbiz.de/10015357602
Persistent link: https://www.econbiz.de/10003940080
Persistent link: https://www.econbiz.de/10012136929
In this paper, we provide an exact finite sample analysis of predictive regressions with overlapping long-horizon returns. This analysis allows us to evaluate the reliability of various asymptotic theories for predictive regressions in finite samples. In addition, our finite sample analysis...
Persistent link: https://www.econbiz.de/10012593767